Little bit faster way... open up iMovie and import the music onto the iMovie timeline and render out using their advanced options. You can just render out a AIFF file and drop it into FCP with no problem.
I tried that Geoff and when I went to render and export a message came up saying my music was copy protected and it wouldn't let me do anything with it within iMovie.
Now BenB, I saw your example for using a CD but what if you want to import music from your iTunes library. Right now I usually have to put those on a CD-R and burn them then drag them back to my desktop from the CD. When I slide them off, they are already AIFF files and I put them right into FCP to edit with.