At least for the future, you can set certain media types such as music, video, etc. to download to specific locations. ie: Go to LW's menu bar, Tools -> Options -> Transfers, check the option for Save different categories to different folders option. Then click the Configure button and go from there, select a preferred location for the music files to go to. This will only affect new music downloads.
http://www.gnutellaforums.com/gettin...tml#post353646 has a sample image.
There is an option to create Lists in LW that can be saved as m3u playlists. ie: Create List. Drag and drop songs from the Library into it. Then right-click the List & choose Export List. If you are using LW 5, I guess you could add the songs (drag and drop files) from the different locations to this List (or might need to be added to Library first) and then export the entire playlist. That's fine if your burner of media device can open m3u playlist files.
(I know I posted a sample image somewhere on the forum how to do Lists, cannot remember where. Instead I've posted this one
As for getting all your music together, I will leave that for someone else to explain the best approach or their suggestions for alternative approaches.