It depends upon whether you have iTunes set to automatically import the files. Check under LW's preferences -> iTunes -> Importing.

But in any case, some files are not copied to iTunes, so it's well worth manually drag & drop the files from your download folder to iTunes to double check. iTunes will not import 2 copies of the same files IF all the details of the file are identical. BTW your download folder is found here -> 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.

Once you have checked all files have been imported then you can delete those from LW's download folder. However, I would recommend you share our iTunes music folder or parts of so other people may also access your music for download in the same way they have shared with you.