Cue sheets status in Audacity
Audacity cannot currently export Cue Sheets by direct means (although it has been a feature request for some time), but it is possible to follow the below sequence to produce cue sheets indirectly using a open source java tool (label2cue)
Conversion process using the label2cue converter
Split the tracks
Split your recording in Audacity into separate tracks using the method described on this page of the Audacity wiki.
Export the labels
In Audacity, selectand name your exported label file. It will be saved as a plain text document that represents the label positions in seconds (and optionally, the label titles).
Convert label file with label2cue
On Windows, Linux, or any platform supporting Java, use Andrewtheart's java tool
Simply single/double click on the Label2Cue.jar file.
Alternate download link -- label2cue
You can modify/improve/redistributed label2cue if you wish, but I (AndrewTheArt, developer) request that you e-mail me with any major changes for my reference and edification. You can find the source and my e-mail address in the zip folder.
This java tool will run on any platform supporting Java (JRE 1.5 and higher specifically. JRE 1.4 will not work!)
label2cue was originally created by AndrewTheArt (Andrew S)
Information about cue sheets in general
You can read more about cue sheets