Are you sure your mute button on your computer is turned on? For previewing I would not recommend LW's media player. There's others around you can use, including VLC, iTunes, and some other ones for OSX. To use another player, go to LW's prefs, player and disable option. Then it will use your default player. I'd recommend one that doesn't import the files, after all you don't want iTunes importing partially downloaded files.

Try this player ToolPlayer

To change default audio player, see How to change default program in OSX (click on blue link)