That requires copying, not burning. If the files are on already on your hard drive, just drag them to the memory stick. If there are a bunch, wait for them to finish copying, and then you can take the memory stick on its way to the next destination!
The reason I want to "burn" is that I can create a playlist from my library, then hopefully copy just those songs to a single memory stick. I guess I can sort through the songs in the Finder directories - iTunes is just easier.