Ok, once they are downloaded go to iTunes and import them into your library under the file menu. Once they are imported all you should have to do is plug in and sync you iTouch and you should be all set!
It depends, if you have all of your music downloaded into the same place/folder then you can just add the folder. Or if you want to add single files one at a time you can do add file but it is completely up to you, they both will do the same.