Note: Your Library appears as Your Music on iPad.
How do I save to my library?
For Albums, go to any album and select SAVE.
For Songs, select on any song.
For Artists, Podcasts, Videos, Radio stations, and Playlists, go to your favorites and select FOLLOW.
Note: There's a limit of 10,000 for the amount of songs and albums you can save to Your Library. For albums, all its songs plus the album itself count towards the limit (e.g. a 10 track album counts as 11 tracks toward the limit). If your collection is so awesome you run out of room, you can always add songs to playlists.