I have audacity and I think it's great. What you need to do is to have the file that you have created open and then click 'File' and go down and click on 'Export as mp3'. If you haven't already you may need to download lame in order for this to work.
http://www.free-codecs.com/download/Lame_Encod er.htm
This should sort out your problem. Also before you do that I usually go to 'Project' and click on 'Edit ID3 tags'. You can then type in the title of the file, artist, album, comments etc.
You can then put it onto a cd. Hope I could help.