Hi Beezer,
Which version of iTunes are you using? You're not trying to move files from that shared playlist, are you?

In LW go tools > options > saving. Now you'll see the location of your saved folder. Add to iTunes from this folder, instead of trying to add from LW's library. If you go to LW's library, click on Saved Files then click Explore...saved folder opens.

In your iTunes, file > add file to library. Browse for your saved folder. Add a file or 2 from there...does it work? If not, go back & open your saved folder. Play a track using iTunes...does it add to the iTunes library (it might)??

Some people have huge issues adding to iTunes for some weird reason. I had a few with iTunes7 so I've reverted back to 6.

Let us know if any of these work.