What you need to do is got to preferences->sharing in LW and check which folder is your 'shared' folder. Navigate to that folder and put all the music that you want in your iTunes library inside a new folder.

Now open iTunes and select file->add to library. choose the folder with all your mp3's Under preferences->burning and choose audio cd instead of mp3 cd. iTunes will automatically convert the songs to cda format while burning. That way songs will be playable on a cd player. If you want mp3 cd's, then simply select that instead

If you have any further questions, please feel free to ask