Yes, Replay Gain analyzation in MJ only affects playback of the files. This is because the analyzation info is saved in a tag rather than used to physically alter the file. The volume is then leveled "on-the-fly" during playback when Replay Gain is enabled in the DSP Studio.
You can setup a playlist of analyzed tracks and play them back using the diskwriter plug-in with Replay Gain enabled in the DSP Studio. You shoud end up with new wav files that are volume leveled. Then use those new wavs to burn.
Be aware that after using Replay Gain, volume levels will generally be lower than the original file. Because most music is already near or over the maximum level before clipping occurs, Replay Gain achieves volume leveling by lowering to a target level. MJ uses 83dB as the target. MP3gain uses 89dB.
I believe also that the MP3gain utility will let you manually adjust the gain if you want. Also, if you use MP3gain, the files are physically changed, so make sure you have backups of the files in case you don't like the results.
Rob