if your MPD doesn't come with an optical cable, you can buy one in practically every electronics store "around the corner" and certainly every large audio store has em.
you can ofcourse always record analog, from the RCA outs of your CDP. there is a bit of loss of quality since the information will be put to analog in the CDP and then to digital again by the MDP. you might also need to seperate songs as your MDP might not recognize the end of a song (when the first song sorta melds into the next).
if you think changing to a CDP with digital out will be worth it, go ahead. you might be fine with analog recordings tho. I'd say wait till you get your MDP, make some analog recordings end then decide if you're satisfied with the sound or need to do something to get digital.