For a good discussion on how using CD-Rs with your Dreamcast might affect its operation, see this thread on the Racketboy forums from 2010.
Aside: Looking through the Dreamcast‘s library of games, I recently come across Ikaruga (Wikipedia, Hardcoregaming101, Videogamecritic), a pretty damn exceptional _Dreamcast _shoot’em up made by none other than Treasure. This in turn lead me to their direct sequel of the Starwing-rivalling Mega-CD title Silpheed (Wiki, HKG101, VGC), Silpheed: The Lost Planet (Wiki, HKG101, VGC). Lost Planet is an unexceptional game, unlike its Mega-CD ancestor, but it is faithful to the Silpheed ‘formula’: enormous detailed backgrounds. In true Treasure form, also, Lost Planet features frequent boss and mini-boss battles, which is fairly uncommon in the shoot’em up genre.
The reason why I make this digression is because it is one of those rare instances where big features of video game history coincide: Dreamcast–Treasure–Mega-CD. It’s also a reasonably cheap way of getting access to some Mega-CD-like gameplay for which you would otherwise have to shell out lots of money. See below for some YouTube video footage of Silpheed: Lost Planet.