How does music downloaded on one device get onto all of my other devices?

I understand what "sharing" is, but this is not my question.
When I downloaded three songs from iTunes yesterday, it asked me something about sharing this song with my other devices. I'm sorry but I don't rememeber the exact wording of the message as that was the first time I had ever seen it (I don't download a whole lot of music).
I downloaded three songs from iTunes into my MacBook Pro (10.7.1 Lion). But I also have an iPhone (3GS running iOS4), and iPod Touch (running iOS4), and an iMac (running 10.6.8 Snow Leopard). All of these devices are on my home network (via an Airport Extreme).
I sort of understood the message with the meaning that, okay, the song that you just downloaded to your laptop will also be available on all of your other devices....Did I not understand this correctly? Because I just looked at all of my other devices and computers and the new songs are not there. I crated a new "list" for the new songs, and it is this new list that I looked for (should I be looking in a different location?).
Thanks for any help!
PS: I did a "sync" of my iPhone and iPod Touch with my iMac, but the songs do not appear anywhere except in their original location, which is my MacBook Pro. I do not sync my devices with my MacBook Pro because that is my "travel" computer, and I use my iMac as my main "base" computer.

Hello,
I already did these things (listed above). Maybe I didn't ask my question the right way, so let me give it another shot.
What do I have to do on my end in order to get my new music (that was downloaded into my MacBook Pro) into my iMac, iPhone, and iPod?
Is there something I have to do---like a sync? Or do I have to somehow "tell" the system to go and grab these new songs? Or is this something that is completely out of the user's hands and it just "happens" as long as you have the settings as listed above? Because this seems to be where I'm having the problem. I have all of my devices set up properly, and I downloaded the three new songs last night. So far, only my my MacBook Pro has the new songs. How long does it take for them to get over to my other devices? And if someone can please clarify this for me: Is this all 100% automatic in that I don't do ANYTHING at all on my end? It just somehow happens? I'm a bit confused in this area.
Thank you.

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How does music downloaded on one device get onto all of my other devices?

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