You could use Sony/Sonic Foundry CD ARCHITECT 5 for creating the track markers in your MIX CD's.
If it is totally necessary for you to use Sound Forge for making the track markers, use the "M" button on your computer keyboard to mark the beginning locations of the tracks.
Make sure that you have the enitre WAV. (mix) opened in SF (not the various pieces of the mix that you previously chopped into pieces).
Press "M" at the location that you want the CD to show a new track. Continue the same process until you have reached the end of you mixtape/cd.
This process should eliminate the gaps of silence in your mixtapes/cds.
Once again, I would use CD Architect instead of Sound Forge.