Well, I would not reccomend iTunes for burning. I would use Nero, but that just me, the instructions I'm about to give you will work with any program for burning.

In LimeWire Library, select song(s) you want to download, right-click on the song(s) select enque. Do this to all of the songs. When you are done enqueing songs to LimeWire queue list/playlist, scroll to the bottom. Click and hold, and drag the mouse up, until the scroll bar goes to the top, all of the songs on the queue list should be highlighted. Let go of the mouse. Open up your burning program (i.e. iTunes) Click on the top song in the queue list, click&hold and drag the song(s) to (i.e. iTunes) They should show up on iTunes. Insert CD into CD burner and click burn icon. That is it. You are done!