It can be saved as a .bin file, then you create a .cue file with all the tracks, then burn it. They give instructions specifically for Nero in their Help file.
With Nero, when it checks the drives on my system, it shows it can read cd+g and write (dao/96 compatible). The last drive I used said the same thing and I was able to make a copy of a karaoke disk with some other software that I can't remember, but that software won't burn created tracks, just make copies.
I thought for sure I'd have a winner this time since I bought the newest model (being they didn't stock any of the previous models that CDRwin listed).
CD+G burn with sony
I really don't know of anyone who uses Nero for burning CDG discs. I personally don't like their software. You should give Padus DiscJuggler a try. The demo version does not time out but it only lets you write a 1x speed. It will burn the BIN files directly. Just make sure you have the options set to write CDG format. Download at http://www.padus.us/download/dj4/free/setup.exe