Right, for songs you can simply drag & drop them into iTunes, then play them, make playlists & CDs or whatever from there. I've not downloaded films but I have music videos & I deal with them in exactly the same way as tunes.

One thing you have to watch is that when you drag & drop, the song will be saved in your iTunes library as the exact title of the download. If youre a bit anal like me you'll need to find each tune you transfer then edit "Info" so they're saved as you want them to be ie "Artist" "Title" "Album"

hope this helps!