Yes, you need to record the record onto your computer (this requires a sound card, recording software and wires from your record player line out to the sound card line in). You can then do some track post production (eliminate hiss, crackles and maybe EQ it) then burn the sound files to an audio CD.
alternatively you can buy a cd recorder as part of your hi-fi package - you can then copy from vinyl, tape, cd and radio.
more expensive than the pc option but more convenient if you are going to do a lot of copying
Alternatively, you could download a music download program, such as Ares, from www.download.com, they can be harmful to you pc, and downloading music which you dont already own is illegal. As long as you only download music you own (the ones on your records) you arent breaking the law. Ares is the safest one, ive tried the rest and Ares is the only one which doesnt come with a Virus