See Burning an audio CD from your MP3's
Also, as far as LW playlists go it really depends on your mp3 player as to whether it can import a LW playlist & whether it can burn from a playlist which is simply a reference to the files. You can find out a little more about playlists half way down this page: http://www.gnutellaforums.com/showth...threadid=32626

This is not really a new request topic & will be moved to the appropriate location eventually.