In order to switch discs when playing multidisc PSX games, for most games you can save before the disc change, exit the game, load up the disc 2 iso, and you can continue your game by loading your savefile from disc 1. You have to make sure that both cds have the same Save Game Name and Save ID, otherwise the second iso won't be able to see the save file from the first one.
If you're playing a game that doesn't let you save before a disc change (like MGS) you can always load up your game on your computer using the PSXe emulator, get to the first save point there and save. Then transfer back to your psp. I think that there's another way to bypass this, but I'm not entirely sure how it's done.