I've recently moved to KDE 3.2, but I thought there was an eject in the right-click menu. There is in 3.2, under Actions.
You can right-click the desktop and choose Create New / Link to Application. In General, name it "Eject". In Command, put "eject". Click OK, and it's done. Just click the new Eject icon, and it should eject. If you have more than one CD drive, you can put the /dev/hdX into the eject command.