Yeah, you want a structure to put your files into.
The thing is that there is no way in hell you're going to get more than maybe 5 albums on a CD. Maybe you dont have a big collection though so *shrug*
The simplest thing would be to (assuming that you have 3-4 albums by each artist) is to put each artist on a seperate disc. You cant really mix it up then but I prefer to listen to full albums, they were made that way for a reason.
If you want to mix it up, store all those files in an organized structure on your computer like shown in my last post, so you can find whatever you're looking for fast. Then burn a CD-RW with whatever mix you currently like whenever you please (this is what I do before I go to work every week).
Foobar2000 (an audio player) can fuction as sorta a music database if you add all your music to it. Same thing with iTunes, but I'd rather nail my dick to a door than use it.