I have found that the easiest way to move files from the LimeWire library to 'My Music' is a simple 'drag and drop'.
Have the LimeWire page at half screen size, slide it across your desktop until you can see the 'My Music' folder icon, click on the file you wish to move to high-light it then click and drag the file to the folder. (Some larger files will show the rate at which they are being copied.)
You will now have two copies of each file and you simply delete the LimeWire library copy. Sounds long winded but it is quite fast and works very well for me.