How to transfer music to my iPod (& iTunes) {click on link}
They should auto-add. However if this stops happening, usually re-doing the settings in LW (disabling, then enabling) & restarting both LW & iTunes should fix it.

Alternatively, you can always drag & drop the newer audio files onto the iTunes Library icon at top left of the program. Initially arrange your LW download folder via date added so you can see the last ones downloaded.

To double-check if they are in iTunes already, you can search individual songs.
Also, go to iTunes View menu options & you will see option for a Date Added column. Click or double-click on this heading to arrange all songs in library via date so you can see last ones added. From memory iTunes does not update view after adding new ones however so you need to re-click the heading bar to arrange them again by date added.