Jefemeister pointed out that the AC voltage in your house can often drop below 120V, but the opposite is true as well. I've never measured below 125V in my house (other than during Blackout '03), and it usually is higher. Definitely use a step-down transformer.
If you are looking for a cheap step-down transformer, there's a chance that it will be an autotransformer. Autotransformers can use thinner windings and a smaller core, so they're cheaper to make. Autotransformers, however, offer no insulation between the primary and secondary windings. Any noise on the primary is therefore transmitted pretty much without loss to the secondary winding. With a regular insulating type, over a certain frequency range, you'll get some attenuation of noise(non-60hz signal).
Disclaimer: we are now entering audiophile voodoo land, reader discretion is advised.
Now as to how audible these differences may be, I have no idea. On the one hand, the autotransfomer MAY perserve the noise spectrum of your AC power fairly well, preventing sonic impact. On the other hand, while a regular insulating type would very likely change the noise spectrum of your AC power, this spectral change is more likely to correspond to that caused by the internal transformer of your CDP.
There are MANY other variables that could change when you add ANY device to your outlet. Jefemeister is right here; I don't think there is anyone who could predict how an additional transformer would affect the sound in your system, even if they knew the exact electrical and physical characteristics of the transformer you were going to buy.
The bottom-line? Just buy one and hope for the best. Heck, it could even improve the sound of your system.
Oh, and transformers aren't the only things out there, that will step-down your AC voltage. I have a "voltage converter" that simply uses a thyristor (like used in light-dimmers) to do this job. More modern light dimmers might use triacs, but even these have heavily distorted outputs. I probably don't need to tell you this, but stay away from these devices. You can spot these because they'll be much lighter than a transformer (duh, they don't have iron cores). I only mention this, because I found an add in the paper for a 120V=>100V step-down transformer and the guy showed up with one of these. I ended up buying it anyway, because I needed it for my soldering irons.