Go to tools>options>saving >save folder (in Limewire) and see where your downloads are going. Then find that folder. The mp3s can be dragged from there to your documents. when you have moved all the files then you could change the save folder to my documents or where ever you want the files and future downloads will go there.
The files that you get in the Limewire library tend to be m3u files which are simply playlist files and cannot be transferred to an mp3 player .
I hope this helps ... (and I have'nt totally confused you