Deffinatley scan them once there downloaded...
To do this go to your shared folder outside of limwire...
You will find this folder by clicking on one of your files in your LW library and clicking explore...
Right click on one of your MP3 files
Select scan with your AV...
With previewing it's similar, your incomplete folder is in the same location as your shared...The folder is titled Incomplete...
You can right click on that as well and scan with your AV...
I will do this if I want to preview movie files, but with music I usually just let the download complete and then scan from the shared folder...
I have made a shortcut for my desktop to my shared folder...