Impret-Sir, you are right, you CAN write files to a CD-R, then add more afterwards in a later session (I do it all the time to make backups) as long as the CD is not closed.
What you cant do (as you say) is overwrite files on a CD-R.
I assume you are using "make an audio CD" option, so maybe be default Nero always closes the CD afterwards.
If you use "make a data CD" option (for mp3 files or data backup) then Nero probably does NOT close the session.
I can only suggest that if you ARE using the "make an audio CD" option you get all your files ready first, then burn the CD.
Remember you can only get about 70 minutes of "audio" on a CD.