hmm just remember that your songs saved to LW are mp3/mp4 format anyway. If you are saving as a playlist file which m3u is ... which doesn't contain any music, is just a pointer file to show the player where to find the music like a map, then be sure where all your other original downloads are. For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here:
Using Library Explore button to access downld folder (click on link) & the folder will open up for you.