This might help: How to transfer music to my iPod (& iTunes) {click on link}

The LW playlist you see in iTunes is simply a playlist which can be played but not burnt or copied. It's useful for checking your most recent downloads. Thus, if you wish to copy to iPod, you need to add them to iTunes first. After copying to iTunes, you can create a playlist with them to add to iPod or use manual updating of iPod. You will see them in your most recently added songs playlist also.