However, a few months ago on Slashdot, there was mention of a program to help automate this process. You can try searching through old articles there to see if you can find the program in question.
The biggest problem with this, is the rate at which Microsoft releases new patches. You'd be burning a new installation CD every month. Otherwise, you've got this CD image sitting on your hard drive, eating up about 500MB of space.
The other option is waiting for SP3 to come out. Not exactly sure when that will be, or even if, since Microsoft's timetables can't really be relied on. Could be 6 months from now, could be never, probably somewhere between.
Can someone please tell me how to do this as when I download them there appears to be no way to save them