If you want to use Compressor to make the disk, put your separate clips into a single FCPX project, separated by gaps. Export that project (sequence) using "export media" and bring the resultant QT file into Compressor. Set chapter makers at the gaps and name them. The menu will be very basic, but you will be able to have limited navigation.
If you want full-featured menus and navigation, you'll need either EOL authoring software like iDVD (in which case, Compressor is not necessary), or DVD Studio Pro. Or use a third party solution like Roxio Toast or (much more $) Adobe Encore.