CD/Redbook authoring program:
Load the mix, set the track indexes.
Sample editor:
Select/highlight the region you want for each track and use a 'save selection' option. This will save out each track as an individual wav. Then just rebuild the tracklist in your burning software.
Multi-track:
Create a session with however many tracks you want your final cd to have. Load the mix into track 1 and time-lock it. Select the point where you want the track change and use the 'split' option. Drag the second half (the piece to the right of the cut) down to the next track. Repeat until you've got it all cut. Select the first track, click mixdown, and save the mixdown as its own wav. Repeat until you've saved all the tracks. Rebuild the tracklist in your burning software.
Of these three methods, setting track indexes is the easiest. Next I would say is using a multi-tracker (something like Adobe Audition will do just fine). This way sounds like a lot of work but it's actually not & really simple. Last, if you cut up the mix in a sample editor, make sure you keep track of the start & end times of each track so you don't overlap any audio or cut something completely out.
If you split the mix into individual wav files, make sure you set the gap time to 0 seconds from track 2 on. This will eliminate the pause between tracks.