Hi misemi,
An m3u file is just a playlist file...it doesn't contain the music but is more like a pointer to the file that does contain the music

Go into your LW library, click on Saved Files then click Explore. Your saved folder will open for you, move or copy songs from this saved folder (rather than from the LW library list of songs) & you should find that the files are moved/copied as .mp3, or whatever the format is!