If your save prefs are under options, then it sounds like you're using OS9 (it helps if you tell us b/c OS9 & X versions have notible differences. eg- Prefs is actually Options for os9) If you now know the location of your LW dwnld folder (after having looked at Options-Saving), you can then open iTunes, go to menu-File & Add to Library (CMD+O) & direct iTunes to the location of your LW Dwnld folder. This will add the files (copy) to iTunes own library.

What do you mean: 'some of it disappeared when I went back to it' ? Do a search (CMD+F) for '.mp3' & the results will show you where all the mp3's are on your HDD. It might be a good idea to make an alias (CMD+M) of your LW dwnld folder, & put this alias somewhere you can find it easily (eg- put this alias inside the Favorites folder inside the Apple Menu Items located in the System folder. Then if future, to find it just click on the apple icon at top left-h corner of menu bar & scroll down to favorites. You'll get the jist with some practice.)

LW library items listed in the incomplete folder will move out of that list after they've completed dwnlding. I hope these suggestions help. Get back to this thread if you're still having problems.