It is possible depending upon the model you have.
If you put a disc (CD or DVD) of MP3s or WMA into some recorders with HDD they will allow you to copy on to the HDD and have some rudimentary playback "jukeboxes". Very rudimentary.
The LG 7500 and series are an example of this.
I think the Samsung ones and some of the Philips do, but have no experience of the panny / pioneer.
I'm sure some of the other makes like Liteon etc will offer similar facilities, but as I say certainly on the LG, whilst it is easy enough to find an album and to copy it to the CD, it is a pain in the neck to make a varied playlist!