Hi, Vanguard-741,
I got a little sidetracked by the subject line - you're talking about ripping or transcoding/converting as opposed to burning (burning involves putting something on a CD or DVD medium). Anyhoo...
What you're attempting to do is easy in Audacity, but you'll be working on a per-file basis.
First, when working with MP3, WAV, WMA, or OGG files, Import the file to Audacity's native format (the Import command in in the File menu). Mouse over Import and then select Audio from the Import submenu.
Next, click in the grey area on the left side of the track window (anywhere underneath the playback gain and panning ("balance") sliders to select the entire track (or both "tracks" of a stereo source). You should see the track areas go a darker grey color when they highlight.
{Hey, Galen, I think this is why Amplify was greyed out -
no selection was made. It should
not be necessary to accept clipping - that's generally a bad thing in terms of audio quality of the finished track.}
Then go to your Effect menu and select either Amplify or Normalize. If I were you, I would choose Normalize, since you probably want volume levels for all your tracks to be pretty much consistent at peak volume. (I see Galen disagrees with me here. Make up your own mind as you play with things.)
Normalization finds the highest volume level and
amplifies or attenuates it to a standard or "normal" level of 0db. (That level is actually a bit "hot" for Audio CD or radio broadcast use - and if that's a thing for you, you should set the level in the dialog box to -3db. That will tend to be friendlier to audio preamps and such, as it's not quite as loud.) For an MP3 player, 0db will be fine as long as it doesn't overdrive the player's amp. Play with it for a bit, and whatever level you settle on as best for you, do the same with all your tracks.
Amplify is a bit more generic, but it has much the same end. The real difference here is that Amplify will allow you to push the amplified signal much louder, and, if the checkbox for it is clicked, it will allow clipping in the amplified signal (that's not a good idea quality-wise, though...). Normalize will actually accomplish what you want with less fuss, I think... it's really a matter of preference here.
A discussion on the differences between Normalize and Amplify is in the manual online:
http://wiki.audacityteam.org/index.php?title=Amplify_and_NormalizeDon't forget to save your work when it's done. Click File ==> Export... and nose around in the dialog box a bit. Here's where you can either save the file back to it's original source (overwriting it with the new file), redirect the output to another folder (or file name) so you have both the original and the new, and you can also change formats (e.g., if you're working with a .WAV file you could easily transcode it to an MP3 from here.) Selecting the Options button in this dialog will let you see and change things like the bitrate of the track (basically, the quality of the recording and the size of the resulting file - lower bitrates mean less quality and smaller files).
When you're ready to export your file, click OK.
As you play with Audacity, you'll find other uses for it, too. It's a great all-around multi-track recording and editing package.
If you haven't already done it, give the Audacity Help file a looking at. It's good reading, and starts from first principles progressing to more interesting topics.
Good luck in your endeavors. Holler back if you need more info.
Later On,
D