Which version of LW are you using?
Are you dragging & dropping from LW, or from your saved folder?
If you're dragging from LW then try opening your saved folder & dragging from there instead. And if that still doesn't work, try adding files to iTunes library via File > add file to library.
If you're using LW 5 then you can have files automatically add to iTunes after download. Click on the blue link below for more info about all of these suggestions
How to transfer music to my iPod (& iTunes)