Those "CDs" are actually DVDs. So you need to make sure that you have a DVD burner to burn data to them.

As for your emulators, you can burn data to the DVDs and put them all on the emulator, but if you want to save states, save games, etc..., you will have to copy the emulator and games to a hard drive to save because the DVD is read-only.

Don't worry about space as all of your emulators and games probably won't even fill a quarter, if not a tenth, of the DVD.