The LW playlist which appears in iTunes is simply a playlist. If you want the songs to be automatically imported into iTunes then go to LW's preferences>iTunes>Importing & tick option to enable importing & press apply. The songs must be added to iTunes Music Library before you can add them to your iPod.

Keep in mind iTunes does not recognise mp3 pro, mp4 audio (only m4a), or Ogg Vorbis. You can get a 3rd party plug-in to allow iTunes to import & play Ogg Vorbis but I'm not sure if this plug-in can be transfered to iPod. Keep in mind that songs that don't have appropriate mp3 id3 tags 'might' not get imported. I spend considerable time comparing the iTunes & songs I've downlded to check they've been added by arranging iTunes by date added for that moment. I also use mp3 Rage to add tags that are missing. And I'll use Audion to see if the songs are playable. You can get Audion for free now. I left a link to it in the Sticky at the top of this section re: iTunes. HERE (click on link)

If LW is too busy, sometimes it does not allow iTunes to add the songs. So you need to add them manually (drag & drop for example.)