If you have got a band of your own, then your natural inclination is going to be to want to make your own CDs and then sell them at the concerts that you put on. And while this early part of your career is ultimately going to go down in your memoirs as your lean years, you really can make yourself a demo CD without spending a lot of money or doing a massive amount of work. But you would do very well to have a relevant contact who has a recording space of their own that you can use. The first step, however, is to have a few songs that you have got down to the point of being able to sing them in your sleep (if the situation ever did call for that sort of thing).
Once you have your songs all down, you want to get your band together and record every song that you can. Of course, you are going to want to get your CD that has every song you did, where the equalizing has already been done and all you have to do is copy and arrange as you feel is right. Keep in mind that once you have your original CD, you need to make other CDs with a group of different mixes on them. While one place is going to want to hear everything that you have got to offer, many places may not. And do not be afraid to accept that the songs you like best might not actually be your best ones.
You might also do well to remember that a well made CD is a work of art in itself. This is an album. And while it is most likely not going to be as good as Thriller or the White Album, it can still be a solid, cohesive body of work that goes well in the order you intend for it to be.