For fast & easy access, 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.

Remember, the files are only transfered to your download folder once they are 100% completely downloaded. The partial downloaded files are stored in your incomplete folder. If you don't find all files there, then you may have chosen save as without realising into a different location. That option is normally only used in certain cases.

If still in doubt, using OSX's Finder search .mp3 or .m4a & see where they all lead to.