You will be prompted to insert your blank media, after which you can then click Burn to confirm that you wish to write the DMG to the disk. To burn the disk image to a CD or DVD, simply click the DMG file in the left sidebar, and then click the Burn icon at the top of Disk Utility. To mount a DMG disk image in OS X, simply drag-and-drop it to the left sidebar of Disk Utility. It will be mounted as a disk and then be available to compress, mount, encrypt or burn. To add a DMG to Disk Utility, simply drag it to the left-side menu of Disk Utility where the other mounted drives are listed (hard drive, SuperDrive, etc.). The best tool for interacting with DMG is Apple's own Disk Utility. These DMG files are quite flexible within OS X, but are rarely used outside of the typical context of dragging a newly downloaded file to the Applications folder.

Prior to the introduction of the App Store, Apple often used disk image files specifically designed for OS X-called DMG files-to install applications. How to Burn a CD or DVD from a Disk Image in OS X

Mac burn iso disk utility