Indeed. The problem with CDs is that they provide only snippets of artificial conversation. E.g. you will learn how to say "Como estas" in the right place, and the CD will dutifully reply "Muy bien", nothing more, nothing less, slowly and clearly pronounced.
But when you actually get into your first taverna and ask the first Spaniard how they are, you may very well be hit with a screed about the government, the weather, their arthritis, the current form of Real Madrid etc...
And that's why there really is no substitute for hearing the language spoken by real people having real conversations...