a question I've always been afraid to ask.
the answer, depends on your preferences.
you can play the music and record it into WAV files, which can then be burnt to a CD
or, you can check out the new PSF format, which currently is limited, but it's still early. PSF is the PSX version of a Genesis GYM file, a SNES SPC, and a NES NSF file. basically a PSX music rip.
I should note, that GT hasn't yet been ripped. it is very difficult to rip PSX games, as they do have Megabytes of code to go through.
or, if you don't mind the quality loss, chances are, you can find the MP3 on Kazaa.