Loading from CD to ipod nano

When I load a cd onto my ipod nano, it loads. But if I load another cd it overlays the previous cd that was on it. How do I successfully load numerous cd's? Do all of the cd's get loaded onto the itunes thing, and then loaded onto the ipod at once? Or do the cd's have to be saved as something specific so they're not lost? I have no idea as to what I am doing with this thing, and any help would be greatly appreciated.