pgh, I have no experience with CUE's. There are a handful of users on the forum who use them, but I don't think they'll find your question unless you post a new one to the Media Center 12 fourm and put the word "CUE" in the subject.
As for your reason for using CUE files, I think you're on the wrong track, FWIW. I have NEVER known MC or any player program to stall between tracks because it's looking for the next one. Mp3 files, which are entirely new lossy versions of the original track, have been known to have noticable gaps between contiguous tracks. The reason has nothing to do with the player, and most particularly NOT with disk access, but rather with the difficulty of lossy formats properly accounting for leading and trailing silence (AFAIK). To the best of my knowledge, CUE files are mainly used by those still clinging to lossy formats (we have a few here).
I'm sorry, pgh, but you seem to be making a VERY simple task into a rather complex one. I suggest you try as JimH recommends: rip the CD's using MC's secure ripper, and then try playing them.