SimpleXISO or Qwix will compile an ISO from a given folder on your PC. Remember that you will need to rename the XBE to default.xbe as the kernel will look for this filename only. You could install EvoX with all your applications provided you made a few changes to evox.ini
If burning to a CD, you will probably need to use a rewritable disc as write-once discs don't usually work.
That said, you should be fine having your apps on the HD, provided you leave all M$ files intact. I initially kept my HD totally free of non-M$ files after unbanning myself in November but in mid-December I copied EvoX etc. back to the HD and I'm still unbanned.