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@Marc > As @Dave says, you can certainly store MP3s, WAVs, etc. on a CD-R and use it to playback, but if you have a CDJ with a USB drive, you will get better features, performance and functionality when exporting songs to the USB device via rekordbox.
Data on a CD-R can't be processed via rekordbox so it will have no cue points, waveforms, etc, plus can't be searched or browsed easily.
Any CDJ since the CDJ-200 can support data playback from a CD-R, but the top-level players will even play from DVD-Rs.