There are two ways.

1) Make sure your Limewire Prefs>>Player has Limewire's internal player deselected. Then make sure you have iTunes set as your default mp3 player. Then you can simply double click mp3 files in your Limewire Library or from the search window after the download is complete and it will automagically play the file and add it to the iTunes Library.

2) Open your Shared Folder and drop and drag the desired mp3 files to your open iTunes application.