No you can't. The LW playlist in iTunes is simply a playlist. You can play them but can't copy or burn them. That's because the files are still sitting in your LW download folder. So ... use the techniques suggested. eg: 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 select these files & add them to the Library (or Music) icon at the very top of LW's playlists. Hold down SHIFT key whilst you select so you can select them all at once.