If you're refering to OSX, then you can have iTunes copy each mp3 to its own library (meaning you end up with 2 copies.) For os9 it doesn't have the ability to auto atically copy to iT's lib, you'd need to do it manually. For windows I don't know.
Once you've created a song list in iTunes you can burn it. Follow the steps in the following by starting with setting your iTunes burn prefs.

Also you can set LW to copy tunes directly to iTunes by the 1st eg.