You can purchase music from CD Baby on your Apple mobile device (iPhone, iPod, iPad), but will NOT be able to immediately access your downloads, as these devices do not support the ability to download zip files from the internet.
However, all the music you buy from CD Baby can be downloaded at any time on a desktop or laptop computer. Once you download your music, you can import it into your iTunes Library and sync to your Apple device.
When you are at a desktop computer, log back into CDBaby.com and download your music from the Digital Downloads section of My Account. In most media players, you can import music by simply dragging and dropping the MP3s into your music library. Just open both iTunes and the folder that your music is stored in. Select the files you want to transfer and drag them to the "Library" in iTunes. Alternatively, you can click "file." If you're having trouble, check your player's help section for specific instructions about how to import audio.