Every 'complete' CD player is a transport and a DAC in one box, so it's simply using a player as a transport and adding an external DAC. I would imagine the Cambridge is more than a fair transport, and although there are improvments in transports and they do make a difference, by far and away the biggest differences are in the digital to analogue conversion.
It would be relatively cost effective to pick up a DAC and try one. I'm sure plenty of people will have suggestions, but buying used is painless and DACs are relatively easy to sell on. You'll need a digital cable, but no need to go mad. Designacable do proper digital interconnect cables for about £15 and they work very well. Decent DACs come up regularly in the classifieds. You could always dive in feet first and, depending on where you are, host a bakeoff and ask people to bring DACs to listen to. Or just ask. Most of us don't bite and are always happy to help other people spend their money