Use the Nero Wizard and tell it you want to burn an audio CD, when you drag the MP3 files into the folder it should convert them before burning. A known Nero problem is that converted MP3 files can skip badly as it will discard poor data while converting. The solution is to convert the files from MP3 to WAV first, then burn an audio CD using the WAV files instead of the original MP3 files. See the Nero help files
here.