For importing directly to your iTunes Library, use the Add to Library button instead of the Download button. The Download button downloads the file directly outside of the player. The Add to Library button provides the extra flexibility and features available in the player's My Library. Once the release is in the library, right click on it and select "Export Tracks". Choose an appropriate file type for iTunes export - either AAC or MP3 - the bitrate of your choice, an output folder for the exported files, and finally make sure the "Add exported files to iTunes library" option is selected
You can also refer to this Video Tutorial.