There are plenty of unmixed cds out there BUT there are also plenty of tracks that you will not find on wide release cd, especially major floorstomping anthemns, VIP mixes, remixes and bootlegs. You might find them on promo cds off Ebay or whatever but they are difficult to get.
There are plenty of places that you can buy mp3s from and burn them to cd... unfortunately there is often a serious delay in tracks coming out on mp3, with them first coming out on promo, then vinyl, then mp3. Not all tracks come out on mp3 - most vip mixes, some remixes and all white labels will not appear on legal mp3.
If you want to be playing promos and VIPs, then you have to copy vinyl onto cd... which sort of takes the point of buying those wonderful CDXs away.
I buy most of my cds off Ebay - keeps the cost well down. More effort, less money.