You can drag it from the library in LW. But if you find that too difficult, then open the LW download folder & drag from there & drop onto the Library icon at the top of the playlists on iTunes interface. ie: 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.