Well, this ain't _that_ easy.
Even if you pay for a Spotify Premium account, and you are able to listen "Offline" to your Music, the songs have a quiet tricky Protection, making it impossible to copy your favorite Music to CD or USB stick.

But hey, noone said you have to play that game like you are forced to. Let's cheat:
Imagine my suggested way as the possibility to head a microphone to your speakers and record it (just w/o microphone and speakers :D)



The trick is to use a tool called "sound capture 1.0", a command line based tool, which records the output of your soundcard (which is exactly what you hear, in CD quality) and save it as an mp3. get it for example here
Another (graphical) Tool doing this is called "Audacity" Just configure output as input (1 click - very easy to use)

Tip: close ALL other programs and chatclients and so on... all output is being recorded, includung incomming msg beeps :P

OK, there is a loss of quality: spotify decodes the song and sends it with 44100 hz to your soundcard, which is listened to by the soundcapture tool of your choice. The tool now encodes this audiostream back to a file as mp3 (with loses quality, again).

But what to do with a whole Album of your favorite Artist as a huge mp3. You cannot skip a track or repeat it... So lets slice it into pieces ....
Use the tool "mp3splt" It autodetects gaps in the large mp3 file and automatical cuts here... with the connection to FreeDB it also should be able naming to the songs :-D

et voilà!

yours webdoc

one last tipp:
open a good playlist (like http://open.spotify.com/user/toquinoqui ... GsHNuIuxmm by Jorge García de la Cruz) and record in shuffle mode overnight ... endless fun