Download from iTunes to iPod without deleting songs already on iPod
You have two options.

One is to simply connect the iPod, choose not to sync, select the songs you want to transfer, and drag them to your iPod. That should copy them without syncing the whole library. You can also go into the iPod from within iTunes, and you can choose options in the various categories (like music, photos, movies) and choose not to sync them to be sure they won't be touched.

Your other option is to transfer everything from your iPod to iTunes and then sync. See this Apple support document for information on how to do that. Once everything has been transferred and is in your iTunes library (and be SURE that anything you want to be on your iPod is also in the iTunes library), then you can safely sync and ignore the warning about everything being deleted from your iPod (since it will be re-added during the sync).