Remember that you're not doing something wrong if Nero complains that "first track cannot have 0 seconds lead-in time" - it's part of the Red Book CD standard that the first track on an audio CD MUST have a 2-second lead-in, it's just the CD players don't show the minus times. However, subsequent tracks (2 and onwards) will show the lead-in times on the display if you put em.
I also recommend getting mp3cue for Winamp 2/5 - this handy plugin will automatically search for a cuesheet (provided it's the same name as the MP3 it's referring to, it'll be loaded automatically if you load up the MP3 inside Winamp with mp3cue active). It's wicked, you just doubleclick on a cuesheet entry in the mp3cue playlist and Winamp will jump straight to the point in time in the mix where the cuesheet track is referencing to. Never have to put up with a mix in individual files again