When iTunes sees a CD in the drive it switches to the Import CD window and you will see the track listing etc. However, as you have particular needs, I suggest that you click on the CD Info button (see the first screenshot below) and start checking.
When you see the CD in the iTunes import window, click on the CD Info button (on the right hand side). It will bring up an overlay view like this:

iTunes found several options for me when it came to the track listing. I chose the wrong one - obviously, because the first thing I notice here is that the artist is apparently "The Beatles - Greatest Hits". If that isn't corrected now (before importing), this album will not be grouped together under the artist "The Beatles" and therefore not with other Beatles albums. (It will also not be in the correct artist folder on your computer.) Not only that, but which comedian thought it funny to list every song as composed by someone called "something"? I'm also fairly certain that the album isn't called The Beatles - Greatest Hits either.
Just along from the CD Info button is a gear wheel. I clicked on it and chose Get Track Names from the pop-up menu and was presented again with the original list:

Apple offer the "really helpful" advice to choose the correct one from this woefully unhelpful list. (Note, British sarcasm.) I foolishly clicked on number three in that list. Let's try the first one instead:

Better, but still every song was supposedly composed by some chap called "something". I'm old enough to know that's not true - I believe John and Paul had a minor role...
For fun, let's try one of the remaining versions on that list:

Hhmmm, perhaps I shouldn't have bothered: weird non-western characters in the artist box, which oddly, don't appear in the overlay view, and this album is ticked as a "compilation" album. (It isn't!)*
Checked the remaining one, that's just as bad, so I've chosen the least bad option (if only I was joking) - the first one on the list.
I'm going to remove "something" from the composer field and leave it blank. I'm also going to change the genre to 60s Pop, because again, I'm old enough to know.
Crucially, since you have a box set, you need to make sure that the Disc X of X is correct on each disc and that the album name is exactly the same for each album in the set. Make sure there are no extraneous spaces at the end of text (such as Beatles ) as opposed to (Beatles) - see the difference?
I feel like asking "are we there yet", even though I'm not five.
Yes, we are (sort of). But first, here's a nifty little trick that you might want to use:
- Since the Sgt. Pepper album is continuous, you might want songs to play as one continuous album even when you have your player in shuffle mode. It's possible to combine tracks. You can combine every track on the album to become one track (the track title might be a bit long or unhelpful, but we'll look at that later).
- before importing, highlight every track and then click on the gear icon. If you have just one track selected, you see this:

But when two or more songs are highlighted, you see this:

- Join CD Tracks. The view then looks like this:

The line down the left side of the titles tells you they are joined. You can only join adjacent tracks and in the correct order. You cannot join them after importing, so do it now if that's your choice.
I've done this on several albums, one of which is Dark Side Of The Moon; I have side 1 and side 2- just two tracks, to replicate the vinyl album.
Now you can import the CD.
Having imported it, you can modify other things that maybe an issue for you. For example, if you have separate tracks, you might want to have the correct release year for each one. To modify a song, highlight it in your Library and click on Edit/Song Info.
Okay, that's far too much already. If you want more information or help, feel free to ask. Except, see additonal post.