Considering the current cost of a regular CD-R, why not just play it safe and get some of those, and you won't have a thing to worry about.
I believe the CDJs need finalized CDs, but if I remember correctly, you can't finalize a CDRW if you want to re-write it later... However, I do believe that the CDJs will play finalized CDRWs.
If you will be playing on any of the new generation CDJs, (850, 900, 2000), don't even bother with CDs - get rekordbox and a USB stick, and you will be good to go