The CD recorder doesn't have to write the entire session at once. You can write a single track, and come back later and write another — but the session must be "closed" before a standard audio CD or CD-ROM player will be able to use it. Additional sessions can be added until the disc is closed or there's no space left.
Multisession writing was first used on PhotoCD discs. Today it's most often used with "linked" multisession discs, and occasionally for CD-Extra discs. These require a bit more explanation.
Usually when you put a data CD into your CD-ROM drive, the OS finds the last closed session on the disc and reads the directory from it. If the CD was written in ISO-9660 format — most store-bought CD-ROMs are the directory entries can point at any file on the CD, no matter which session it was written in.
Most of the popular CD creation programs allow you to "link" one or more earlier sessions to the session currently being burned. This allows the files from the previous sessions to appear in the last session without taking up any additional space on the CD (except for the directory entry). You can also "remove" files, by putting a newer version into the last session, and by not including a link to the older version.
When you put an audio CD into a typical CD player, it only looks at the first session. For this reason, multisession writes don't work for audio CDs, but as it happens this limitation can be turned into an advantage. This limitation does *not* mean you have to write an entire audio CD all at once.
Some audio CD players do seem to be able to recognize all of the tracks on a multisession audio disc. Most do not. The only way to know for sure is to try and see. If you are planning to give an audio CD you create to others, it would be wise to write it in a single session.
Note that mixing MODE-1 (CD-ROM) and MODE-2 (CD-ROM/XA) sessions on a single disc isn't allowed. You could create such a thing, but many CD-ROM drives will have a hard time recognizing it.
On a Macintosh discs written in HFS or HFS+ format cannot link files back to earlier sessions. Adding a new session will cause the previous session to disappear.
If you want to write some data to a CD-ROM now, and than some more later, you write a single data track in multiple sessions. Also if you want to write some audio tracks to a CD now and later, you write multiple audio tracks in a single session.