This assumes you have successfully added the mp3s you've purchased to your iTunes or Windows Media Player collection. If you have not, follow the steps in this tutorial first.
For iTunes: Follow Apple's tutorial, here.
For Zune: Follow Microsoft's tutorial, here.
For Sansa: If you're running a Mac, use this free program to sync with iTunes. If you're running Windows, use Sansa's tutorial for syncing with Windows Media Player, here.
For Creative: Follow Creative's tutorial, here.