Do you have LW set to add downloads automatically to iTunes? Tools > Options > My Files > click on the Configure tab next to iTunes. Tick the box to add audio files from LW to iTunes > ok. Then also click ok on the main options screen.

If you've already got that option ticked but it's not working, untick the option > ok > ok on main options page. Restart LW, go back into options again & re-enable the transfer to iTunes. If things are playing up, disabling the option & re-enabling it seems to fix things

If you don't want to have all of your downloads automatically add to iTunes, there are a few different ways to add files. Check out this thread (click on link) for heaps of info: How to transfer music to my iPod (& iTunes)