I have purchased bitcoins from MtGox and they appear in my account. However, I can't figure out how to get them into my wallet.
I don't have a MtGox account myself, but you should be able to find a function on MtGox that is called "withdrawal" or similar. There it will ask you to provide your Bitcoin address and set the amount that you want to withdraw.
Be sure to use one of your own addresses from the wallet (depending on what wallet you use look for "receive payment" or "your address"), it has happened before that people used an address of one of their business contacts instead of their own.