There's more than one technique. Open your LW downld folder, drag & drop them onto iTunes Library icon at the top of the playlist section of iTunes. For fast & easy access, 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.
I'll need to check out the new windows version to see if I have the same problem with dragging them from LW's library window. Are you talking about LW 4.10.5 or one of the later beta versions?