Is it just that the Amazon MP3 Downloader application won't automatically add downloads to my iTunes or is this a Windows-only feature? Didn't bother to find out for myself because I decided to have a script do it instead. Add from Amazon MP3 Folder will let you choose the Album folders from your "Amazon MP3" downloads folder and add their files to iTunes. Optionally, if you allow iTunes to "Copy files to iTunes Music folder when adding to library", you can choose to move the original folder(s) and files out of the "Amazon MP3" download folder and to the Trash after they're added to iTunes. Saves a few keystrokes.
It occurred to me to make this a Folder Action--so that files get added as soon as they hit the "Amazon MP3" downloads folder--but Folder Actions can be dicey when working with internet-downloading files. So, you've got to run this from the iTunes Script menu.
I've also included the script "Open Amazon MP3 Folder" that will open your Amazon MP3 downloads folder and make it the frontmost window in the Finder. This script can be run from iTunes' Script menu as well.