Oh MAN that would be awesome if CDBaby would handle all the licensing stuff for me! Unfortunately, no. This is from their faq
Do I need to own all the rights to the music I'm selling?
YOU NEED FULL PERMISSION TO DO THIS!
You must own the copyright for the sound recordings or have the authority or permission from the owner(s).
If you didn't write the song/composition, that's OK, but you must find out who the copyright owners are, and pay the publisher their mechanical royalties the same way you would for CDs sold, but based on your download/sales activity.
If you have samples in your music, they must all be legally cleared and paid-for. No "mix tapes" of other people's music, even if you are mixing in your own music.
It's VERY important you have all rights and permission! Files distributed on the internet are watched very carefully by lawyers. You can't just "get away with it". Do everything thoroughly and legit.
If you have cover songs (artist performing someone else's songs) on your CD, please make sure you read the answer to the next few questions, too.
I do work with CDBaby. My one existing cd (ballet class music, all arranged from public domain or my own compositions) is distributed through them, and I was planning on doing this one that way too. But they're a distributor, really, not a record label.