iTunes can import mp3's, m4a, aiff, wav, mp4, but will not import mp3pro files (these use same extension as mp3's.)

There should be no need for converting files if they are in appropriate format. See How to transfer music to my iPod (& iTunes) {click on link}
And ignore the LW playlist you see in iTunes. It is simply a playlist but the actual files still exist in your download folder not in iTunes music library.