You can mod an Action Replay cartridge to allow your Saturn to play burned discs. It's called Pseudo Saturn. There are a lot of articles and videos about this method. It requires you to open up your Saturn and do the disc swap trick once to load the software that needs to be copied to the Action Replay. The data that needs to be copied to the AR is called "Atlas Installer".
I had a modchip in my Saturn, but the system stopped working and I couldn't get the chip properly installed in my replacement console. I've been using Pseudo Saturn since then and it works perfectly. The swap trick took me around 30 times to work successfully, but once you do it you'll never have to do it again. The "Saturn Backup Unlocker" pictured above looks like it's just a modded AR with a custom label.
The only drawback is that the Action Replay will lose the game save & cheat functionality. It will still function an a region unlocker (so you can play original Japan or PAL discs) and it will still work as a 1 & 4 MB RAM cart. I keep a second action replay for game saves and use the Pseudo Saturn AR only when I want to boot a CD-R.
You're right - Saturn is very expensive to collect for. However, the Japanese versions of many games are much cheaper than the U.S. releases. Japanese games like Burning Rangers, Sonic Jam, Panzer Dragoon 1 & 2 (and many others) can be found for a fraction of their U.S. prices. You can simply use a standard Action Replay to play these discs.
https://www.reddit.com/r/SegaSaturn/comments/32rerh/easy_guide_to_play_backupsimports_on_saturn/https://www.youtube.com/watch?v=wjMMhYUo_DoI've seen Ebay sellers selling AR's already modded with Pseudo Saturn, so that's an option if you're not comfortable doing it yourself. Also, I've never heard of any issues with burned discs damaging Saturn consoles.