It's all in the software old boy.
Get yourself some decent CD Burning software and you will find transfering MP3's direct to CD no trouble at all.
Adaptec Easy CD Creator Deluxe is particularly good for this you can transfer MP3's straight to CD without converting to a Wave file . Also the software allows you to balance the volume for each track so that tracks recorded from different sources will all be recored at the same volume.
Hope this helps.
(PS I don't work for Adaptec ..... remember there are other similar products on the market !)