The best thing to do is if you have the HDD space is to store them on there.it makes little sense to burn them all to disc,i mean unless you really want to.You can however zip them up which will save some space and GameEX will unzip them when you load a game.plus kega fusion (i assume you will be using fusion for sega cd) loads disc images. Myself personally with cd based systems is I choose just the games i know i will play (especially on sega cd there were so many shitty games not worth the HDD space).Same thing with PS1,PS2,Gamecube,Wii and all cd based systems I have installed