Audacious needs to be rebuilt against libcue to be able to parse CUE files. My project MLED offers - among other things - enhanced versions of Audacious, MPlayer, K3B and the likes.
http://www.microlinux.fr/mled.php
Or you can simply install libcue from SBo and then rebuild the audacious-plugins package against it. No special build option to add, it will be recognized by ./configure.
Cheers,
Niki