The copy-then-burn concept is to allow you to add and remove files at will until you finally are ready to burn them.
Unlike a hard disk (or floppy, if you remember them) you cannot (not even on a CDRW) write 1 file, erase 1 file, write 1, erase 1.
You have to burn your files in "sessions". A given CD can have many sessions, but each one 'mounts' as a seperate volume. You would not normally want 1000 volume icons to appear on your desktop, when you've inserted a CD containing 1000 files.
To my knowledge, there's no way to bypass the copy stage in Mac OSX.
However, if you use Toast, you can do it a little differently. Toast collects only *references* to the files you want to copy prior to burning, so the 'copy' phase is nearly instantaneous.