If your mp3 player is like many, you hook it to your computer and it shows as a virtual drive.  You can drag and drop songs to it as you please, from elsewhere on your machine. 

The key is to know where your FrostWire files are so that you can manage them as you would any other file.  Go to tools>options>bittorent and note where your torrent data save folder is.  That's where your songs are.  Using your file manager, navigate to it and drag the items you want to your mp3 player.

That should do it!