What you are referring to is an option called "Multisession" discs. You can burn mutli-session discs using third party disc-burning programs such as Toast. However, Apple decided not to include the option in Mac OS X's built-in disc-burning system for reasons of stability and security. Multisession discs do have some minor issues that, while unimportant to 99% of users, would be a deal-breaker for some people.
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