Yes, they play in dvd players that do vcds. They are on separate cds, but could probably be burned to a single dvd although I'd have to check. My copy of South Bank Show Put Blood in the Music only contains the Sonic Youth part.
I was having problems with my dvd burner during the time when I downloaded them.
I'd keep checking around to see if someone has them on dvd if you want the absolute best quality available.
This list needs to be updated:
The Sonic Youth and related list is on page 3: