Big ole hassle and you end up with a lower quality in the conversion. Look for the Philips DVP-642, can be had for around $60-65 at stores like Target and Walmart as well as online at Amazon and it does a great job at playing the DIVX/XVID format stuff. If you still want to try then go to the Doom9.org site which specializes in this kind of stuff.
A good tool to use is TMPGEnc. You will need the ffdshow codecs. TMPGEnc will then convert the MPEG-4 video file to an MPEG-2 video with either PCM audio or MPEG-2 Layer 3 audio. Then you can easily burn the MPEG-2 files with any DVD authoring software. Watch out for overscan though.