Disklavier

I've been creating Midi backups to play Alto sax with, and burn them to mp3 and/or audio 
CD for performance backup when away from the house. I have done this with iTunes, both 
on Mac and PC and it is straightforward. Import the file into iTunes, and burn to audio CD. 
It uses Quicktime for the sounds. 

For best sound quality, however, I've found it better to use the sound module in the 
Disklavier. I feed the audio out from my MkIII DC3A to the sound input on my computer, 
and record in any number of programs. I've mostly been using Sound Studio, free with 
Macs, but have also used Roxio's Spin Doctor, which comes with Toast on the Mac, or the 
similar program that comes with EZ CD Creator on the PC.

Once I've got an audio file, AIFF or WAV, it's a simple matter to burn to CD. Again, I use 
Toast or iTunes.

Whether you use the Disklavier sound module or your computer to generate the sound 
depends on the quality of the software synth in your computer, but generally, a dedicated 
hardware synthesizer (your Disklavier) will sound better most of the time.