Best way I can think of is:

Arrange your download folder into date modified or date added. Then each day or however often, add those that are new. My suggestion is to select one file, hold down the SHIFT key & select the other file downloaded since you last added files to iTunes. That will select all the new ones, then drag & drop them onto the iTunes Library icon at the very top of the iTunes playlists.

OH, you would need to have your LW download folder in List view. You can do this by going to view options. And arrange icons by Date Modified (had to relog into XP to double-check for this.)