We will most likely be adding the feature you are talking about in a future version, namely transcoding while burning a data CD. Then it will be a simple one-step process. Look for it during the beta cycle of the next version.
For now, use the converter and click the Options button and enable the "Move to Location" option. Fill in a temporary staging directory, such as "c:\music\mp3-cd" or some such. Don't check the "create artist/album subdirectories" option. Make sure the all the other options are unchecked (update database, etc.). From now on, every time you convert a set of files for burning to CD, the converted mp3 files will be placed in this directory. Delete them after you are done burning the CD.
Now select the files you want burned and do the convert on them. When the conversion is complete, just drag and drop (from Windows explorer or the My Computer node of the MC "Drives & Devices tree) the files from the staging directory onto the "Burn CD" action window icon. Follow gpvillamil's directions for setting up the filename and directory name manipulation (it only needs to be done once, MC saves your settings). Then burn the CD.