You need to drag or copy your music files from the shared folder in Limewire to a separate folder in my music or wherever you store your music and then go into ITunes and click on File then add folder/file to library.
First, download the music from Limewire (save to a directory). If you are setup correctly with iTunes, you should be to able double click the song downloaded and it automatically should play using iTunes. The music is also stored in the iTune's library. Once it is there, you can create folders within iTunes and drag/drop from the library into the new folder.
Easiest way is to go to Limewire -> Preferences -> iTunes -> Importing -> Enable iTunes Importing.