Following the
Rip Multiple CDs hint, I found a loss in performance when iTunes tries to import the cd and play it at the same time. The solution is to let iTunes import the first track, and then start the playing from the newly imported track in the library and not from the cd. Since importing is always faster than actually running the CD, your listening will always be behind the actual import process.
Of course, this works smoothly with "normal" CD. If you try this with Keith Jarrett's La Scala, you'll have to wait about 15 minutes before the first 44.52 minute track is imported to be able to play it!