Yes, it'll play backups from normal CD-Rs as long as they're burned correctly. Note that some Saturn games may have a few different "tracks", which need to be correctly burned otherwise the game won't work. Most dumps should be setup as .bin/.cue files with the correct number if tracks, but a fair few aren't and you may have trouble getting those running. Most CD burning software supports multitrack burning without issue, but I prefer IMGBurn myself for all my disc burning so you may want to try that.
Also, +1 for a memory card. The internal storage is not only small, but it also runs from a button cell battery which, when it dies, will wipe the internal storage and your saves. The battery is incredibly easy to replace (it's behind a compartment in the rear of the console), but it's best if you have an external memory card so you don't lose all your progress in a long game like Panzer Dragoon Saga