If you are using LW 5, turn on the option to auto transfer songs to iTunes. If using LW 4, then see How to transfer music to my iPod (& iTunes) {click on link}. This does in fact mention about LW 5's option.

That LW playlist you see is simply a playlist. The songs themselves are not in iTunes music library. It is purely intended for playing your new downloads. The LW Library icon you see is intended for sharing on a LAN network such as to a fellow family member for playing only. Both those playlists can only be played, not burnt or transfered to iPod.

Okay, so I downloaded LW 5 and I set it up so that songs would be automatically transfered to itunes when they were done downloading. I downloaded a song and it didnt transfer and then when i tried to add it manually it worked. So I downloaded another song and tried to add that manually and it didnt work and it still wont work. So i guess I dont understand why it only works some of the time?