I don’t know of any CD players which play M4As (I could be wrong). However, iTunes will convert the music for you.
In iTunes, choose a playlist, and click ‘Burn Disc’. The ‘Burn Settings’ dialog pops up, with three choices:
1) ‘Audio CD’ makes a disc for any CD player (approx. 79 minutes of music)
2) ‘MP3 CD’ for players which support it (typically hundreds of songs fit on a CD)
Your CD player probably has a prominent “MP3” label if it supports MP3s.
3) The third burn choice, ‘Data CD or DVD’ will not work in a CD player, it simply copies the M4A files so you can take them to another computer.
Some purchased music cannot be converted to MP3, leaving audio CD as your only choice. iTunes will let you know if that’s the case.