The best thing is to get CD Architect from SONY. They have the studio version - fairly cheap. All the tools but not the effects that come w/ the more expensive version. And Sound Forge from SONY. It is a stereo editor, which isn't as important as CDA but nice to have.
What I do to "compile" a CD is export a mix of the songs w/in SONAR at the project rates - 44.1 and 24 bits and put it w/in the project itself. If you have Sound Forge you can import it into there, top and tail (cut the beginning and end if necessary), make sure there are no overs (you can draw the loudest hits out and raise your overall level of the track). You can also "master" in SF, tho you can do it in SONAR too.
Mastering comes from the old vinyl days when tape had more dynamics and frequency range. So they had to make it fit using EQ and limiting. Today it means (apparently) getting the hottest sound possible - if you look at many pro songs you'll see they look like a block w/ no dynamics. For the home studio, esp. a newby, you merely want to raise the average level of you song. I'd stick w/ a limiter (concerte limiter from Cake is good, as is Elephant from Voxengo) and a little eq. The EQ is there as much to stamp the same eq signature on a CD, just as the limiter should get the songs to have the same loudness between them. Once you have the high def songs sounding good, you export them as 44.1 16 bit wav files that CD players use and save that as a separate file -d on't overwrite your project mix file.
Then open CDA or another CD burning program. Line up your songs, fade between them, etc. etc. CDA and Pyro will insert the markers your CD player reads, and you can move them or manually insert more (or take them out). YOu can fine tune vol w/in the programs and add another layer of effects like a limiter, compressor or EQ (tho you shouldn't need those it is nice to have just in case). Then burn your CD and listen to it. Rinse and repeat until you are happy. It is best to check out your Cd on various systems - bookshelf speakers, cars, etc.
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