You could try recording directly from the CD players, without using the mixer. If that works ok, then there is either something wrong with your mixer or the volume settings. Maybe you have just set your amplifier way too high in volume so you have developed a habit of keeping volumes low on the mixer?
What exactly do you mean by "pushing it to the limits" ? If the signal you want to record reaches or goes slightly beyond the 0dB mark on your master meters, it should be alright.
EDIT:
Judging from this picture
http://www.audiorents.com/photos/front/ ... 64bc96.jpg
the DJM-500 can output up to +14dB. Speaking in normal home stereo terms, that's INCREDIBLY loud. For example, every 6dB more (than 0, for instance) means double the volume, so +14dB would be more than four times the standard line level volume. The mixer can do that because it's designed for clubs, where the PA system's inputs can take a lot more volume than your average home stereo. For your sampling problem it means that IF you push the mixer to that limit, it should very well overdrive the SP-404's inputs already. If it doesn't, there is something wrong.
That said, I'm jealous of your mixer.
I only ever heard good about them, I want one and some turntables and lots of vinyl so I could DJ like I did when I was a kid (only had crap equipment back then and no money for lots of vinyl).
