Yea, Roxio Jam works pretty well; I've used it before. You can fade a song out right into the next and make a CD Index wherever you want the next track to start.
I've mastered in Pro Tools before (I'm no professional mastering engineer) and the way I did it was pretty simple:
1. Create at least 2 stereo tracks
2. Drag Track 1 into the first track, Track 2 into the 2nd, Track 3 into the first again, and stagger them accordingly, so that it's every other track.
3. Edit the transitions between songs by automating volumes and working in the fades. I've even used time compress/expansion in some parts to make the next beat drop on the last 4 bars of the previous song exactly on time before it kicks in.
4. If you want to get technical, and if you have the processing power, put each song in 9 different tracks, and use a multiband compressor on each, modifying it so that all your frequencies are harmonious with one another.
5. Put a limiter on the master fader, but don't push it at all. Just set the threshold to -0.1 or -0.3 and don't juice it more than it already is, unless you didn't "master" the tracks originally.
6. Hit "Enter" on every transition to create a marker for the beginning of each track, and name them accordingly.
7. Highlight from marker to marker (you can shortcut this by holding shift at one marker, and then typing period, marker #, period (e.g. ".3." from the beginning of track 2) and you'll highlight exactly from marker to marker.
8. Bounce to disk 9 separate times. Make sure you're using dither correctly if you're in 24-bit, or a different sample rate to make it Stereo, 16-bit, 44.1kHz files.
9. When you burn the CD make sure there's no time between songs, and they will play continuous.
10. If you were happy with the levels originally, and you want to make a quick rendition instead of bouncing all those times in real time, just put the whole mix in one track, make fades accordingly, (without automation) highlight and consolidate each region, and then export each selection to a stereo file. Your consolidations will be exactly how long the track will be anyway, and you won't need markers. This is just a quick method if you want to make a mix CD or something on-the-fly.
Hope this helped.
-Hypno