I was once in your position and i got the same response when i asked questions like these
, you can play them on your saturn, although you need to have a mod chip installed or utilize the swap method (described in the miscellenious section)
You extract the m just as you would dreamca... other things
extract number one of the series of files, it creates a bin/cue file or an iso and mp3 duo
The mp3's need to be converted to wav files (there is a tool for this in miscellenious also) then you make a cue sheet for them using sega cue maker (also in misc)
I use CDRwin to burn, and it proves very well, but i hear nero works also (look in misc for more details)
and play away!