an audio CD, you're just as well to leave them as .wav files.
Essentially that's what audio files on a CD are, with the following specs;
16 bit sampling
If you don't save them in this format, then the burning prog, (Nero or whatever), will have to convert them to this as part of the burning process. This will mean that your work in converting them to MP3, (with associated loss of quality), will have been a waste of time.
Of course, if yuou are intending to burn them as mp3 cd's, (which wont play in most audio cd players), or you are short of HDD space, then ignore what I've said!!