First off what sort of CD player do you have? There are very few CD players that have the capability to have a USB audio output, there are two that I'm aware of, the schiit audio urd And another from shanling. I'm not going to claim there aren't others because I'm not sure but these are the only two I'm aware of.
That said though these two transports have the necessary output to be able to simply plug something like the Cobalt into them and then get audio out. A normal CD player or CD transport does not have this type of port and you will not be able to get sound out of it.
Most CD players or transports will have at the minimum RCA outputs for standard left and right analog audio And or digital outputs consisting of either coaxial digital audio output or a toslink digital audio output, sometimes both.
Now of course if you have either of the two players that I mentioned then it will be quite easy to stick your Cobalt into their USB audio Output and be able to listen to your favorite music.
Also unfortunately there is no sort of adapter or junction box that I'm aware of that would enable you to convert either analog audio or digital audio to usb audio. Truthfully there are analog to digital converters where you could in theory convert the analog output of a CD player to a USB format, however there's no guarantee that The format the converter would output would be supported by the Cobalt. There are also digital to digital converters where you can convert one type of digital to another type, including USB.
Usb audio typically consists of a type of bitstream data whereas the type of data coming out of a analog to digital converter or Digital to digital converter, typically would be A different type of data that is not normally supported by a standard audio DAC.
Sorry to burst your bubble buddy but in my experience if you've got a standard CD player of a good quality like a Marantz or an NAD or similar, I found personally over the years that their built-in dac often sound just as good as any sort of budget dac that you could get.
That's of course not to say that getting an external one wouldn't improve the sound, because it can and will, but at a more budget level with something like the Cobalt for example you probably wouldn't improve the sound quality that dramatically or noticeably.