On the psp with multiple disc pbp you just need to press "home" and select "Change disc" from the menu.
Btw I checked and it seems to be possible also in pcsxrearmed, I'll add this to some next release.

With pcsxrearmed now you need to make one pbp for every cd and use the change disc key when needed (you need to wait for an update because pbp doesn't show in the selection dialog)