OK, first you need a program that can rip your discs to an image format (.iso, .bin, .img or .nrg). To do this I use SlySoft CloneCD. Here's a guide on how to use it (4th post down):viewtopic.php?f=6&t=156&start=30
You can then copy the image file to your devices in the directory x\FpseCE\ISOs\ where 'x' is your storage card.
If you want, you can compress the image further with PocketISO before transferring it to your memory card. Here's a guide on doing that (2nd post down):viewtopic.php?f=6&t=156
Good luck and enjoy.