It depends on how large a manufacturing run you want. If you are a pro expecting to sell a good number then its worth getting the job done professionally. If it's basically vanity publishing then you might be better burning them yourself - you can then do them to order or run off a few before a gig, which is better for cash-flow. Make sure it's clear that they are CD-Rs, as these may not work on all players.

Just a thought - my car radio handbook warns against using CDs with applied labels, as these can come off and really gum up the works. So besides looking more professional, properly printed CDs avoid this risk and possibly an expensive bill. Some manufacturing companies will print blank CD-Rs which you can then burn yourself.