If you're using Windows, you can't have LW downloads go to iTunes automatically...you have to add files to iTunes library yourself.
You'll need to find your LW saved folder & add to ilTunes from that folder. In LW, go tools > options > saving & you'll see the location. Or, if you go to LW's library & highlight a file, then click Explore...your saved folder will open for you!
Now check out this thread for more info about adding files to iTunes library.
Transferring music to iPod & iTunes