I use Goldenhawks cdrwin for this. First I open the file in Cool Edit 2000, and I use this not only to convert the file to a 44.1K 16 Bit Stereo wav file, I also use the VERY handy zoom feature to find EXACLY where a track begins. The real-time counter on the bottom is EXCELENT for this. The only small traouble being, it measures in 100ths of a second, where CDRWIN wants the input as 60ths of a second, so I have a cheat-sheet I made up to make the conversions of the fractions of a second much easier to do.
I have alot of out-of-print LP's that I wanted to convert to CD format so I wouldn't have to bring extremely rare and valueable recordings to gigs I was DJing. Needless to say, the practice of having to make multiple files, one for each track was an excercize in tedium ad finium. (Hair pulling) Using the above mentioned method, I simply record each side of the LP at a single file, find my cue points and write the cue file, and burn it. (Yes, you can use multiple files, each with it's own set of cue-points.) recording the CD in disk-at-once mode eliminates the gap between tracks. I've not used Nero for burning this type of file, and will be checking out the link Upp3rdOG posted.
If you need any additional help with using my method, please feel free to e-mail me via my profile.
The Dirtman Goeth.