On the mac, as soon as a song has completed downlding, iTunes will open & import the song to its own library. Thus OSX users get 2 copies immediately. One in the LW downld folder & one automatically copied into the iTunes Music Library. It's really not a hassle adding songs to iTunes after downlding. I mean you can do it directly from LW's Library window & drag & drop them into the iTunes program library icon at the top of the playlists. You can do a group of them at one time. SHIFT select them to select a group of them.

Another way of course is to drag & drop them from the LW downld folder. Again as a group is the easiest (shift-select.) ie: Go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you. Then just drag & drop them onto iTunes library icon.

Of course you can also add them from iTunes, control-O & shift select a group of them. Etc.

Some people downld directly to iTunes Music Lib folder. IMO that's not wise considering possible risks if the wrong files are accidentally downlded.