I have been using
Replay Music (part of a
suite of software products that includes the aforementioned
Replay Media Catcher). You can try it for free, but the fully licensed version is not that expensive.
Even better, they have a deal with a company called TrialPay, where the Replay Music software is free if you sign up for one of TrialPay's offers. Their offers include one from
eMusic, where you can get 25 free MP3 downloads for trying the eMusic services. Only problem I have found with eMusic is that their MP3 downloads contain a lot of dead air space at the end of each track. If you burn a CD using WMP, the dead air will also record. Better way is to burn the CD with iTunes, which allows you to set the gap between tracks.
I have been recording whole albums from
Napster, Play.Me, Lala, and others, and then burning audio CDs from the files. In fact, I'm listening to the new Lady Antebellum CD right now, with some extra tracks from their first album. Sound quality is excellent, especially if you record at 192 Kbps.
One thing I've learned is to tag the record files correctly within Replay Music, so that when you play them in WMP, iTunes, Winamp, or whatever, they are correctly identified right from the start. This will also ensure that when you play the audio CD in your car or CD player, the track names and artist titles will be correctly displayed.