Well, you can select all the songs from your LW folders from the LW Library window, & drag & drop them onto the iTunes icon on the dock. That's one way. Otherwise as you said, select the Saved files folder within Library window & press Explore which will open the folder for you. Then just select all & drag & drop onto iTunes icon.
I presume you have LW set so it automatically allows iTunes to import the songs seconds after they've been downlded. Go to LW's preferences>iTunes>Importing & tick Enable iTunes importing & press apply.