I've just tried this, and it does work.
Open GB and set up an Audio Track. Also set up a Podcast Track (this is where you'll insert your markers later on).
Insert your audio CD. If iTunes opens up, close it. You won't need it for this. Rather, click on the Audio CD icon which should come up on your desktop.
All the tracks on the CD should be listed as numbers. Choose the tracks you want and drag them into your GB Audio Track. I think you have to do this one at a time. If they don't line up exactly one after the other, just drag the tracks slightly to the right or left using your mouse, so that there are no gaps in between. They should all be on the same line (in the same track, in other words). Do this for all tracks, from whatever CD's you like.
When you have them all loaded on from your various CD's, go to the Podcast Track. At the spot you want each track to begin and end, press P (or go EDIT>>Add Marker; it's the same thing). You also need to add a marker at the start of the first track. All your markers should appear in the edit pane below, with a precise time given to each (minutes, seconds, etc.).
Then insert a blank CD. Now go to SHARE>>Burn Song To CD. Even though it looks like one big song you've created, those markers delineate the different tracks.
Why bother with this method?--You get a lot of tonal control; you can add effects to make the songs sounds virtually any way you want--this might suit those who are into "different" mixes and sounds; you can play around with fading in/out; you can even grab a guitar, record that on a separate track and mix it in with the CD songs, and pretend you were in Fleetwood Mac.