If you're using Mac OSX, go to LW's preferences>iTunes>importing & tick enable for automatic importing of songs as soon as they've downlded. If you see the following link, hopefully that will clue you in http://www.gnutellaforums.com/showth...threadid=36498 (it's in the General Mac OSX section)
Some people prefer to add their songs manually. That's fine, but it's so so easy to do in that case. Drag & drop onto iTunes icon is the easiest way.

If you're using OS 9 then you can also add them manually the same way.