Well, it's not exactly the most legal thing, but if you have a decent microphone, record the songs on it, and then you will have them as .wav files, which can be burnt on a CD. The only draw back is that it may have background sound or the quality may suck if you have a bad microphone. The problem with me is that I have to use the microsoft sound recorder, which stops every 60 seconds, so while there is no singing in the songs, I click off and record really fast and it gives you addition time. I do that until the sound is over. That's the only drawback for me, because my microphone is pretty good.

Believe me, I do this all the time. xD