You have one lucky friend that will go out of his way (and break the law) to copy you a game
Nonetheless, I have converted all my CD collection to ISO DVDs (all my legitimate CDs btw.....)
It's fairly easy....... You can do that from within Alcohol120%. Just insert the CDs one by one and convert them to an image file (ISO for example). Do so for each CDs. Example you have 5 CDs, create 5 ISO image files. Place all 5 files on your DVD and burn as a DATA DVD (make sure you have sufficient space). Now when comes time to install something that, say, required those 5 CDs, all you have to do is mount each image one by one as each disk is requested, therefore you will avoid swapping CDs.
As to combining into one ISO I would not recommend it as some multi disc games and apps share some identical file names across many CDs, so you will run into a problem.
Hope this helps.