I have just worked out how to copy songs you have bought on itunes to CD!
Choose Edit > Preferences, then click the Burning tab at the top of the window.
Choose Audio CD as the Disc Format.
To have all the songs on the CD play at the same volume level, select the Sound Check checkbox.
Click OK.
Select the playlist containing the songs you want to burn to the CD, and make sure all the songs you want to include on the CD have a checkmark beside them.
You can only burn a CD from the songs in an iTunes playlist (you cannot use a playlist on your iPod), and only checked songs are included. For instructions on creating a playlist, search help for "creating lists of songs."
Click the Burn Disc button in the upper-right corner of the iTunes window.
Insert a blank CD-R disc and click Burn Disc again.