The following works with Toast 5. This will probably work for other burning applications as well, but I've never tested them.
Simply have the custom icon in the .icns format (it is the icon resource format). Name the custom icon to exactly: .VolumeIcon.icns
Drop it into the root directory of the CD. Voila! After burning, it will be the custom icon for the CD, but there will not be a visible file name .VolumeIcon.icns.
Or you could just make a disk image with Disk Utility, mount the disk image, paste the custom icon and then burn that image with DU.