If you are using Audacity, save to wav files so as to retain maximum quality. Audacity's default for wav is the same sample rate as the PCM files that will be made when you make an audio CD (44100hz) that is to the Red Book standard and will play in any CD player. It will list the files as CDA, which are just pointer and info files that point to the PCM audio files.
I use iTunes (free) for easy CD burning -- but you can also use the ones you have to pay for like Nero etc.
