If you're using LW 5 then there's an option to automatically add files to iTunes.
In LW tools > options > downloads. Tick 'add audio files I downloaded from LimeWire to iTunes > ok.
Once the download's finished in LW, iTunes will open & you'll see the file being added to iTunes.

Or you can find the file within LW's saved folder & then add to iTunes from there... check out this thread for more info (see post #8 for info about locating file on disk to open LW's saved folder outside of LW): How to transfer music to my iPod (& iTunes)

If you're using LW 4 then try dragging & dropping from LW's saved folder (drag & drop from LW's library doesn't work for some people). Otherwise, try adding files using iTunes' File menu. Check the link above for heaps more info.