No, the import option for iTunes within LW was only just introduced in LW version 5 beta. All that LW 4 version for windows can do is list a playlist of recently downloaded songs in iTunes. But that is simply a playlist, the actual files themselves are still within the LW download folder.

Some people have got around this by using iTunes Music Library folder as the LW download location. I do not recommend this, however it's an option. (the reason I do not recommend it is fake files, viruses & non audio files that might be downloaded & muck up or confuse iTunes.)