You can use youtube-dl to download youtube videos or from other places as well. With Audacity, you can extract the audio and then convert it to .wav format to create a CD, or convert to .mp3 format to create a DVD. The use a DVD burner of your choice to burn to CD or DVD. My favorite  DVD burner is K3B.

I created a bash script to download all the videos whose URL are listed in a text file using youtube-dl. It was fairly easy and I lost it, but I can re-create it for those that want the code for free.