Also, if you add the songs to iTunes Music Library then you won't need to worry about deletion of songs. Whatever you do, don't think that just because you see a LW playlist within iTunes that the songs have been added to the iTunes library. The LW playlist is simply a playlist which reflects what songs you have in your LW download folder. So ignore the LW playlist in iTUnes. To add songs to iTunes Music Library, see
How to transfer music to my iPod (& iTunes). You will notice there are many techniques to add songs from LW to iTunes music library.