Personally, I wouldn't bother: the benefits of an XLR balanced connection will be negated if one end isn't balanced, as is the case in your situation. You could buy a cable with XLR on one end and phono on the other if you want, or try using conventional cables with XLR-to-phono adapters at the CD player end, to see whether the XLR output on the player sounds better. Such adapters will cost you under £10 each from places like Maplin, but I suspect you won't hear much difference, if any.
To do things the way you want really needs a cabled female XLR to phono plug adapter – in other words the XLR and phono joined with a short length of cable: there are solid adapters of this kind available, again for around a tenner, but you're likely to find the phono sockets on the amp are too close together to allow you to use them, and the weight and leverage effect of such a solid adapter is going to put a lot of strain on the amp's sockets.