Yes you can load your CDs to the iPhone; you can transfer your CD material to your iPhone Sim card as long as you have space on your iPhone. To load, put your iPhone sim card at your laptop, put your CD at your laptop and transfer the material on the CD to the Sim card. Some people take a lot of pictures and record videos; if the space is full, you can't add/load other material.
Use itunes to import your Cd and then you can sync it with your iPhone. The iPhones sim card is not a memory card so the above would not work. If you prefer not to use iTunes you can use sharepod it is free.