What tg911 said will work, using a multi-session program.
However, I think that what you're trying to do is the kind of burning that you'd do on a CDRW (CD ReWriteable), and not a CDR (CD Recordable). A CDR is a one time use CD. Once you burn something to it, and "finalize" the CD, you can't burn anything else to it. With a CDRW, you can choose to "not" finalize the CD, and leave it so that you can write things to it at a later time/date.
I recommend saving all the files to a folder on your hard drive or your desktop, then burn all the files you want to a CD or CDRW. This way, you have a back up of your newly created (burned) CD. You can delete the files at a later date. I've always favored burning everything at once, instead of doing a multisession or using a CDRW, as I've had bad luck with CDRW's (so now I never use them!!!).
Hope this helps!
War produces veterans, wounded both physically and mentally. They have sacrificed for us.....and it is now our job to help these veterans, as they have already helped us in ways we will never know, in ways that we cannot fathom, and in ways that we take granted every day.