How do I burn my music from my playlist?

If it is a playlist you have created in iTunes from music that you personally own and have purchased follow the instructions here:

Create CDs and DVDs in iTunes on Mac - Apple Support

If it is a playlist you have created in Apple Music via your music subscription, unfortunately you cannot burn it to a disc as you do not technically own the content. However, you can purchase the individual songs or albums in iTunes and proceed with the directions linked above.