Yes, this is how it works. Have itunes closed before you click from SR, the link will open itunes for you.
No, you can buy multiple individual songs in one session without logging out. I don't know how long a session lasts, but I generally have an idea of what I want to buy and make most of my purchases within a 10-30 minute window.
Probably I would logout, clear cookies and click through again if I had let an hour or so go by without making any purchase. There is a wishlist feature so if you want to do alot of searching around, you can always use that, then log out, clear cookies and come back to purchase everything in the wishlist.
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