Mac users can do this but Windows users will have to add songs to the iTunes library themselves If you're a Windows user & enable LW's iTunes sharing (tools > options > iTunes) then you should see a LW playlist within iTunes.
The trouble is that this is just a playlist & so you won't be able to edit song info, add to iPod etc. In that case, you'll have to add downloaded files from your LW saved folder into the iTunes library.

There's lots of info in this link.
How to transfer music to my iPod (& iTunes)