It would be impracticle to try to burn as you downld. You don't have all the info available so the burner wouldn't know how to enter the TOC. It simply wouldn't work!

For fast & easy access, go to your LW Library window, select Saved Files folder & press the Explore button. Sample image here: Using Library Explore button to access downld folder (click on link) & the folder will open up for you. Then drag & drop the files wherever you desire. Such as Toast or iTunes or ....