The turntable has RCA output plugs so can you not connect this to a hi-fi amp, or a radio with RCA inputs so you can listen while recording.
There is a downside to recording to the USB stick - as the audio files are encoded as MP3 and are thus already compressed (and neither the Lenco specs nor its manual tell you what bitrate and quality is used for the MP3 compression).
Importing the MP3 into Audacity will get Audacity to turn it into 32-bit float 44.1kHz high quality audio for working - but note carefully that this does not restore the compression damage vaused by the MP3 conversion that the Lenco does.
And more importantly if you are going to export your split audio files as MP3 (or AAC) you will get a second MP3 conversion giving you a second lot of compression damage.
Audacity does have a Click Removal effect: that you may want to use Click Removal - Audacity Manual
But when I converted my LPs I use a sepaareat app called ClickRepair - it costs a little but produces almost magical results - see this sticky thread: Click/pop removal - ClickRepair software
Since you have direct recording to a USB stick not all of the steps in our tutorials will apply to you, but many will:
Tutorial - Copying tapes, LPs or MiniDiscs to CD - Audacity Manual
Sample workflow for LP digitization - Audacity Manual
Have fun with your conversion project,
WC