What do you need?
First up, you will need a CD Writer unit. Most computer hardware stores (online or offline) will be able sell you one. The following brands are definitely known to work: Yamaha, Diamond Data (Mitsubishi). Most other brands should also work OK. Get an IDE model, they are cheaper and easier to find than SCSI drives, and now don't usually require extra interface cards. Don't get a USB model, drivers may be really hard to find, and IDE will be faster anyway. You will also need some software. More on that later.

Hang on, doesn't the drive need to be SCSI?
Nope. Not if you use Daniella Engert's IDE and ATAPI drivers, or RSJ. Either will turn an IDE CD drive into what OS/2 thinks is a SCSI drive, and the CD Writing sofware will work from there. If you really want a SCSI drive, go for it, but check brand compatability first as some may not work correctly. CDRecord has a huge list of supported drives if you need it. (It is also likely that IBM has followed Daniella's lead and improved the "standard" IDE drivers.)

What about the software?
You have two choices - spend money or spend time. If you want the fast, expensive option: buy RSJ. If you want the cheap but slower option, use CDRecord which is either freeware or shareware. In the latter case you will have to go looking for various bits and pieces to make it work but there is a handy website that should help. You also have to option to add fancy bits to the setup.

More about RSJ.
This is produced by RSJ Software Gmbh, in Germany. It is a full suite of programs and drivers that make CD writing simple. During installation a number of drivers are added to your system, and on reboot you CD Writer behaves like a removeable hard drive. Putting something on the CD requires that you "mount" it (a few simple mouse clicks) and then treat it like any other hard drive - use COPY, XCOPY, the WPS, or whatever file management tool you want. When you have finished, a few more mouse clicks finalise the job, and the CD pops out! DON'T forget that finalise step, as that is when the drive actually puts the data onto (or "burns") the CD. RSJ also provide a utility that will copy tracks (data or music) from one CD to another (great if you have two CD drives - or even two computers with one drive each!) Another thing to note is that you can get RSJ for Windows too.

More about CDRecord.
This one requires more setup time, but is more customiseable. It is a port from UNIX (so if you run Linix too, this could be the one for you), and requires EMX installed plus it will probably need Daniella's drivers installed. However, on the plus side, there are several "frontends" - graphical user interfaces - which can be added on to simplify various tasks, including the creation of CDs full of MP3s, great for the music fan. It is also freeware, released under the GNU Public Licence, so source code is also available should you want it.