Would have to differ slightly from the first reply I'm afraid. SD cards are convenient and reasonable cost. However, the A3 only supports certain types of files, and certain quality settings within those files. For example, WAV files are only supported up to 44.1kHz sample rate. There is a full list in the manual which I'll scan in at some point if I get a chance.
My music is stored on my PC in Apple Lossless ALAC format. The A3 does support this, but not to a particularly high particularly bit rate. When I copied the files straight onto an SD card the car could not read them; I later discovered this was because the bit rate was too high. I therefore converted them to WAV in the highest quality it will support. This appeared to work but after a while it became apparent the sound was unacceptably harsh, even with the treble set to the minimum. A thread on here suggested an encoding incompatibility. I therefore added an iPod Classic to my Christmas list which seems to have largely solved the problem.
Don't let the above put you off the B&O though; it is an excellent system and blows most car audio out of the water. IMO though the sound is not very good "out of the box" and does need some tweaking from the default setting. As a final point the A3 isn't really set up for bulk CD use; there is a single CD player but it is in the glove box and therefore not really designed for regular use!