When you sync, make sure the "sync music" is checked in the music tab...select all music, or just what you want, and sync away! You can sync your entire library (which will include any CD's you've uploaded into your iTunes library), or by playlist.
With the 1.1.3 update you can manually drag and drop playlist, songs, and videos straight to your phone as long as you have the "Manually manage music and videos" box checked.