Well, you would have to install custom firmware on PSP and use PC to convert your PS CDs to image files so you can transfer them to your PSP. That is actually legal because you are using your own copies, unfortunately installing custom firmware isn't that easy.
Well, if you are desperate to play those games and don't want to fiddle with CFW they aren't that expensive (as you said).
P.S. I would wait a bit, maybe there will be a discount because there are more Final Fantasy titles on the way for PSP
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