Yes, it works well, as long as the filenames inside the cue file are correct (case sensitive).
I have found some games in bin/cue format in which, while the filenames are "gamename.bin/cue", the file name inside the CUE file (you can edit it with a text editor) is "GAMENAME.BIN" (with caps). In that case, you must edit the names or the content of the CUE file, so the filename referenced in the CUE file matches exactly with the filename of the BIN file.
Of course, you must select the CUE file when loading the game for the CD audio to work. If you select the BIN file, CD audio will not play.