Download them do you mean or move them from your downloads folder to elsewhere such as your My Music folder?

Files need to be 100% downloaded before you can use them. If they are selected into the download window but are not finished, then ...

To find your completed downloads: 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.