Is it possible to put a game downloaded from GOG into a CD/DVD, to use as a physical copy?

Sure it is. Just download the game's offline backup installer (with all its files) and ensure that there is enough space on the DVD for the game in question (some games are much larger than a typical DVD). If you want to go the extra mile, you can also create an autorun file by following the instructions below:
https://www.gog.com/forum/general/making_a_gog_exe_autorun_when_burned_to_a_disc/post3

Well you can just put the installation .exe into a CD/DVD.

So then I just drag the downloaded game's installer into the DVD?

Yep. That's it. Then you click the "Burn Disc" button and it puts it on the DVD.

If you have a nice DVD collection with boxes, I recommend to also print one of these in color for a nice look:

http://www.gogcovers.com/index.php?title=Main_Page

Pretty much. Just remember that some installers are split into multiple parts and they must all must be present in the same DVD when you install the game. For instance, Neverwinter Nights Diamond consists of 2 files.

I didn't think it was that easy. Thank you all, I'll try soon

Sure, but why?

Yeah, it's one of GOG's main selling points - burn the installers to discs, put on flash drives, etc.

If you have Blu-ray burner you can burn even more data on a disk, at least 25BG compared to 4,7GB on the DVD.

If you want a simple burner program I can recommend http://imgburn.com/. Just three steps:
1. Select what you want to do (write files/folder to disc)
2. Select or drag the files
3. Click on the burn button

They are DRM-free, so like already said, you can do whatever you want with them.

As long as you have the full installers, you can burn them to disc as such, or in some cases install them first, and then copy the entire installation to removable media to create a "play anywhere" kind of copy (mostly this works with ScummVM and DosBox games, which don't require any paths or settings in the operating system).

You might also be interested to know that there are fan made box covers for many games, so not only you can have a physical copy, you can also make a nice box for it.

http://www.gog.com/forum/general/unofficial_dvd_covers_for_gog_com_games

I like to touch things in real life.

Just to mention, I;ve been thinking about burning a few games to disk as well. I use the GoG Downloader and it downloads in ready to burn 4 gig files.

Not sure if the direct downloader and GoG Galaxy do the same but I wanted to mention it.

You can touch external hard drives.
They are cheaper and more reliable than optical discs.

Another little question: where does the savefile of the game go? In my computer or in the CD/DVD/whatever?