You'll have to make your own playlists for the LW player, there's no way to do that automatically.
Creating playlists
also
Playlists not loading after save
If you choose 'add by monitoring folders' within WMP, it will automatically add your LW downloads to WMP. Just make sure you select your LW saved folder to be monitored (wihthin LW, tools > options > saving will show you the folder location).