Simple answer is no.
For the file to be copied to iTunes, it must exist on your computer. Thus you must wait for it to be downloaded by LW.
(Once the file is 100% downloaded, it will transfer from your incomplete folder to your downloads folder.)
Incompletely downloaded files in the LW Library will show
(downloading) after their name.
Unfortunately on dial up speed connection, you will not be able to download the files any faster than you do at present.
Broadband speed or similar type would allow faster speeds.
(simple abbreviated look at how incomplete files look in the library, click to see larger view of sample picture)