One way is to select the files you want to burn, right click and select Burn CD. Another way is to insert a blank CD and when asked select Open in Finder. Drag the files you want to burn to the CD window or icon and then select Burn in the CD window.
Malcolm's first article points to an older version of iTunes, which used to prominently display the "Burn" icon when you selected a playlist. That's now vanished, and you have to right-click on the playlist name to locate the "Burn playlist to disk" option.