To write CD Text, it must be supported by your burner. On your computer you must also use a CD Text capable player, as mentioned and referenced by afrodeziak. The hardware reader must support it also, whether computer drive or standalone CD player.
In New Compilation / Audio CD be sure to check the "Write CD Text on CD" box.
In CDA Options / General Settings, choose "Tempfile strategy"
In Burn, select the Write Method "Disk-at-Once"
If you are copying a commercial CD release, use the FreeDB internet database to download title, track, and artist information.
If you are compiling miscellaneous tracks, left click on each track and hit Properties and enter the CD Text information for Title and Artist.