If the iPod was NOT previously set to do automatic syncing (the Sync Music checkbox was NOT checked before), you were probably loading songs on the iPod manually, by dragging and dropping songs onto the iPod in iTunes. When you use the manual method, once you put a song on the iPod, you can delete that song from your iTunes library. Therefore, it is possible that by setting up automatic syncing now, you will lose songs. Any song that is currently on the iPod that is NOT currently in your iTunes library will be lost.
If those lost songs are from music CDs, you can re-rip those CDs to get those lost songs back into your iTunes library. Then, you can set up the Music tab to include those songs in your automatic syncing.
As I described in the reply to the original poster, you use the iPod's Music tab to make your selection of songs that you want iTunes to automatically sync to the iPod. It does not matter if the songs you select are from music CDs or from the iTunes Store, or from any other source (or any combination).
One convenient way to set this up is to create a new regular playlist in iTunes. Call it something like "iPod Songs." From your iTunes music library, add ALL the songs you want on the iPod to that playlist. Then, go the iPod's Music tab in iTunes, and under Playlists, find and checkmark that new playlist.
When you click Apply, all songs on that playlist sync to the iPod, replacing its current content. Going forward, when you want to change the music on the iPod, just update that playlist by adding or removing songs. The next time iTunes syncs the iPod, those same changes are made automatically to the iPod.