You can probably ignore the warning and let it overwrite things, because the things that are the same on each CD are supposed to be like that. Each CD has the same README files and directory structure under the "RedHat" directory, so if it is just complaining about overwriting those, you're fine. That is, pathnames like "RedHat/RPMS" are OK to let it overwrite. It's going to get different files off each CD to put into that directory.
But if it complains about overwriting .rpm files, then something is wrong. I don't think it will do that, but I haven't done this myself so I'm not positive. Just check the pathnames it complains about as you go, and it should be fine.