Convert using iTunes, set your import preferences to .aiff 44.1Khz, 16 bit interleaved stereo, then use the "convert" function to create the .aiffs.
You can burn in the finder but it;s not a proper audio CD (known as Red Book), you'll need an app like Toast or Waveburner for that.
I believe the finder will burn Orange Book Cd's but I've never tried it.