Roon allows transferring of music data from local storage and third part music services: Tidal and Qobuz.
How to transfer from third part music services: Tidal and Qobuz.
If you have a Tidal or Qobuz account you can use the MusConv application for transferring from the needed music service available in the MusConv to Tidal or Qobuz.
For this, you need to connect your Tidal or Qobuz account to the Roon application, go to “Setting” – “Services” and connect to the music service:

The article for connecting a Tidal account.
The article for connecting a Qobuz account.
After connecting an account go to MusConv and authenticate to the service inside the application which you connected to Roon. Open a source service in the MusConv, select needed tracks, playlists, or albums that you want to transfer, press the “Transfer” button on the bottom, and choose the service which you authenticated and connected to the Roon application.
When data has been transferred you can see them in the Roon application.
How to transfer from local storage.
If you don’t have a Tidal or Qobuz account you can transfer music data via the SDownloader application.
Select a music service in the SDownloader, choose music data, and press the “Download” button on the bottom:

If you don’t find a needed music service in the SDownloader, just transfer music data to YouTube. And download music from the YouTube service.
After downloading connect the downloaded data to the Roon application, go to “Settings” – “Storage”, press the “Add folder”, and select the folder where been downloaded music data:

The article for connecting a local storage.
How to create an m3u file in SDownloader for downloaded files and import it to Roon application.
For creating an m3u file in the SDownloader you need to go to “Settings” and check the “Create an M3U file with a relative path” checkbox:

And, after downloading songs an m3u file will be created for each playlist.
In the Roon application, you need to check the “Import other playlists” slider, after clicking on the “Add folder” button in “Settings” – “Storage” menu:
