First of all, you'll need to find your saved folder. In LW tools > options > saving will show you where that folder is. If you go to LW's library, highlight a file & click Explore...your saved folder will open for you!

Now have a read through this thread for different ways to add files to the iTunes library (I reckon file > add file to library is the easiest & it's foolproof)
Transferring music to iPod & iTunes