You'll need to do what I did.. I removed the RF box out of mine, and mounted a mini din-9 connector inside my Genesis.. with that, I then connected all the appropriate wires to where the DIN-8 sat (i also removed that).. I grabbed the audio from the headphone jack's pins.... works great...
For Genesis sounds on the Sega CD, if you do that route, you'll need a mixing cable.. or better yet, go to radio shack, get a headphone-to-headphone wire.. not an extension, but the cable that has the male plug on both ends (STEREO).. then set the volume to 7-8, and your set..