@Erpel I also do know you will need yourself some special equipment to record and play the stuff.
Youtube Vids might help you out with atleast knowing what you need. I dunno if players and recoders need to be seperate or there are combo-units.
Myself would rather go with CDs for a physical collection even though they are more cumbersome to listen to on the go. And Equipment is abundant.
But of course you can do however you like