Depends on the game. If its a newer game that requires the install cd to be in the drive, how do you plan to run the game from the burned cd while the install cd is in the drive?
Although new games also read and write a lot to the install directory. If you burned it to a disk it wouldnt be able to write, and it would be slow to load.
Perhaps what you should do is to take and install the game to a usb flash drive. Which would work, kinda like how portable firefox works...