There's a plugin for Winamp (that I can't find at the mo) that lets you play .mod files. You can then output it to mp3 or wav within Winamp. Then you can put them onto CD :-)
It's very possible because I did it with feekzoid mods from Aminet, but that was a year or two ago now.
--edit--
here's the plugin (different to the one I used) for Winamp.
--edit2--
here's an mp3 output plugin too.
Now all you need is
Winamp ;-)