just did this the other day, imported my CDs into itunes selecting the mp3 format. in the library was able to right click on the album and cut/paste it onto the SD card in a oner. As i'm crap at this sort if stuff it took me a while to figure out but it's actually pretty easy when you get the hang of it.
The only problem i had was that some of my CDs wouldn't copy into itunes, googling it looks like possibly copyright protection in the discs so am still trying to find a way round that.