Providing you've copied the file into My Music & you know that it's saved there - you can delete it from LW's library & the file is still saved on your computer Once a file's saved in My Music then you can delete it from LW's library if you want. Do a test - save a file in My Music & then delete that same file from LW's library (select the 'send to recycle bin' option just in case you need to restore the file)

For instance - if you used WMP & had My Music as the folder that WMP looks at for it's playlists etc, you'd have to make sure that all files were copied to My Music before you deleted them from LW... otherwise WMP wouldn't be able to find them or play them.