Are you using iPod or another mp3 player? If you're using iPod, there's lots of info here
Transferring music to iPod & iTunes

If you're not using an iPod, you'll need to find the location of your saved folder . Within LW tools > options > saving will show you where your songs are saved & you'll need to add to your player from this saved folder. If you go to LW's library, click on Saved Files then Explore... your saved folder will open.
Chances are that you can drag & drop from there into your player