Several Creative systems now contain the Creative Recorder which allows you to record "What-u-Hear" to the hard drive. I use it a lot for all sorts of things - including Radio 7. You can then easily pass that recording over to CD.
You may be interested to know that I have had correspondence with the BBC about the legalities and copyright issues of recording radio programs like you (and I) are doing. Their response was that there is no problem as far as they are concerned provided the recordings are not for commercial exploitation.