1) Record your songs on the keyboard as audio files on a USB stick
2) take that stick to the computer and use its CD burning software to create an AUDIO CD
You could get more complicated than that:
1) Record to the MIDI recorder, perhaps add some extra tracks
2) then play back the song in the MIDI recorder and record to USB stick as audio
3) take to computer and burn CD
You might process the audio tracks in an app like Audacity - to trim the start and end points, 'normalise' levels, add fade ins/outs etc, before burning to CD
And you could take the audio output from the keyboard direct to the computer and record the audio directly to Audacity and then burn to CD.