Good idea, CDs make a pretty good target for BBs. If they don't break or you can't see the hole directly, you can definitely see that shiny disc dancing around. Plus as you said, you can get absolute craploads of them for cheap. I imagine they would probably work just about as well for a 22.

Please get some safety glasses. Those daisy bb rifles are known for bouncing back. Plus always think safety first when handling any kind of firearm or pellet/bb gun.