If you want to sell physical CD's, then you have to send them the CD's. CD Baby partners with companies that will make CD's for you (but keep in mind it's pretty pricey, and most companies won't let you do a run of under 300 CD's). If you're strictly looking to sell digitally through CD Baby, you can just upload whatever files you want them to sell, or you can send them a mastered CD-R you can burn yourself via snail mail, to make sure the album as a whole appears on the site exactly the way it is intended.