All you need to do is to place a label at each track break - use the Ctrl-B shortcut - and don't forget to place a label right at the beginning for the first track.
Then use Audacity's Export Multiple command (available from the File drop-down) to export a multiple set of WAVs.
To assist with the track numbering/ordering when creating the CD, I initially label the tracks as 01 <trackname1>, 02 <trackname2> etc. Then Export Multiple WAV files. This gives me a set of WAV files that can easily be ordered correctly for burning to a music CD.
When exporting WAVs for CD, do ensure that you have the Export set at 44.1kHz, 16-bit PCM, Stereo (this is the Red Book Standard for CDs). The way you do this is different in 1.2 and 1.3, I don't know which you are using - consult the Wiki (see below).
The Audacity Wiki, Documentation and Turorials have much useful information on how to do this - a recommended read -
http://audacityteam.org/help/
BTW: do always ensure that you use CD-Rs (good quality preferrably) - and not CR-RWs.
WC