The best way to tansfer the files between LW and Itunes:

1. Have all DL's going to the shared folder
2. Put the shared folder (in Home) onto the dock
3. Go into the Home (or sherlock if you can't find it), find the itunes music folder, and put this also onto the dock
4. After you DL an MP3 click the shared and the Itunes music folders in the dock to bring both windows open onto the screen
5. In the shared folder click the songs you wan't and drag them into the itunes folder
6. Now go to the itunes music folder drag those same songs right onto the itunes icon in the dock and they will then be in itunes for you to burn

p.s. you can drag the mp3's straight from the shared folder onto the itunes icon. this saves you a step, but i have found that if you don't keep a copy of every song you get from LW in the itunes music folder, occasionally songs will get lost