If it's what is known as a 'demo' and NOT for sale, that would be safer. There is a loophole in Copyright Law for Fair Use and Educational - like borrowing a book or CD from a library to use at home in a non-commercial context. Unfortunately use in church services is not covered, thus the growth of royalty licensing agencies such as CCLI. If you eventually want to make a commercial CD it would be best to contact the song's composer/publisher to get permission and a mechanical license via the Harry Fox Agency (harryfox.com).
Speaking as a musician and a non-lawyer, it would be wiser to make the song demo, not commercial quality, only give the CD to the people learning the music, and keep yourselves off the Royalty Police's radar...