Burning CDs from iTunes

I am burning an iTunes playlist I made to a disc on my macbookpro. The songs don't burn in the order of the playlist, instead they burn in alphabetical order by artist. I saw this was a problem others had and that right clicking and selecting "Copy to Play Order" and then "Burn Playlist to Disc" fixed the problem. I tried this and it didn't work. Do people have other ideas? I also realized the discs I have are actually DVD+RW not CD or MP3, but they still take songs, not sure if/how this affects things.