I download songs to my app so that I can listen to them offline. This feature was implemented in 2012, but has since been removed a few months ago (see community post below)!!
This is very frustrating as there is no way to navigate downloaded only songs easily. I, like many others, do not have 10s of GBs available on data to stream, or 10s of GBs free on my phone HDD! The only option currently is to go into "Your Library", followed by "Songs" and shuffle. This will try and play songs that are not downloaded, which obviously will not play when offline.
Please re-implement this on the next update! VERY frustrating.