I haven't had any problems burning them in DAO with cdrdao (using gtoaster as a frontend). Just dump all the tracks in and burn. Nero should work in much the same way. Of course, I haven't used any of the burns on a real unit, only on the NeoCD emulator for Dreamcast, but that is the same way I've burned Sega CD games in the past, and I've used those on my Sega CD w/no problems.