It'd be nice if Xfburn would add a "CD/DVD Recorder" target to the "Send To" menu in Thunar. That's just another .desktop file that has to be installed. It should however try to guess what to burn properly; i.e. when sending solely audio files, it should suggest to burn an audio cd, and when sending any data files, default to a data cd/dvd.
In oder to fix this, I think a new feature is needed: one should be able to use "xfburn some files or folders to burn" to create a new composition containing those files and folders. xfburn could also ask on startup if one wants to create a data disk, an audio-cd, a dvd ... with those files/folders given as parameters. Once this is done, this bug can easily be fixed by creating a .desktop file, as explained in http://thunar.xfce.org/pwiki/documentation/sendto_menu
Thanks to a patch from m8t, this has been finally implemented in r6118.