First burn a CD as usual in the "Finder" with whatever data you want on it. Then when you want to add data, just create a blank DMG (using Disk Copy) of whatever size you need to hold that data. Of course, the size you specify must fit on the partially burned CD. Put the files you wish to burn on the DMG. Unmount the DMG and then use "Disk Copy" to "Burn Image". Put in the CD to which you wish to add the data.
"Disk Copy" now says "Click the "Append" button to burn", and the button says "Append" instead of "Burn". And there you go, a multi-volume multi-session CD-R or -RW burned in OSX with no additional software required!

