That's because the LW folder in your iTunes is only a playlist... you'll have to add the files from your saved folder into the iTunes library, then they'll go to your iPod

To find your saved folder, go into LW library, tools > options > saving & you'll see the location. If you click on saved files within the library & then Explore... your saved folder will open for you! Just add to the iTunes library from this folder & things should be good