I find the best way to do things is to dump the contents of each CD into a folder on my hard drive baring the same name as each disk. Then I burn all the folders on to one DVD.
Simple, yet effective. Then all I have to do is put the CD in and off we go
UT2k4 works just like this on their dvd, you explore it and it has folders saying DISK 1, DISK, 2 etc, etc.