I haven't tried this yet in MJ but have made many a polished crossfaded audio CD with WinAmp and Easy CD Creator operating in concert.
MJ8 has a new bit under Settings>
layback>Output.
Change the output Mode to "Disk Writer". Click settings and configure the location.
The idea is that instead of "playing" to your sound card MJ will output to a series of (.wav)files.
The output to wave will include the enhancements of any DSP settings that you have.
Amongst things that you can set with your DSP is crossfading.
Now line up a playlist and "play" it. You won't hear anything - your sound is not involved.
When it finishes, go straight, first thing to Settings>
layback>Output and change the Mode back to direct sound or wave mapper.
Then, import the series of .wav files that were generated.
Select the recently imported .wavs and burn those babies to an audio CD.
Assuming that MJ uses DAO (disk at once) by default, which I think it does, then there will be no gap between tracks. If there is anything to say "No Two Second Gap", check it. You do not want a gap.
Hence you will get a lovely crossfaded audio CD with which to impress friends, family and that Nice Sort that you fancy down the pub.