'New' downloads should go to the new location, ones that were previously selected to download but incomplete 'might' still go to the old location (though this should not happen in my experience). I think it's wise sending downloads to a different drive or partition. Good for the system so it does not fragment the system drive so quickly.
From memory when I last tried this whilst using Windows, some incomplete files moved across to the new location, some stayed in the old location until they were fully downloaded. It's been a few years so my memory is a bit vague on the details.
Which version of LW are you using & which was your first version of LW?
These are old links to change location I had bookmarked: (a)
How to Change download location (click on link),
_ (b)
How to Change download location (specific for folders / media types),
_ (c)
How to move downloads to new location