I've used EAC to do this. Instead of ripping individual tracks, tell it you want to "Copy Image & CUE Sheet." That will make a single WAV file of the entire CD, then you can convert to MP3 from that.

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I'm not sure it's possible, at least in the EAC versions I've used. Why not just silently transcode to mp3 whenever you sync your library with the Zen? Most players these days support that feature in ...