How can I burn an OS X Lion install DVD once the installer has been auto-deleted?
You can re-download Lion even though it has already been installed by holding down the option key before clicking Purchased. 

Do not release the key until after the option to Install appears alongside OS X Lion.

The workaround may be more reliable if something other than Purchased is in foreground before alt/option-clicking Purchased. 

Burn the installer to disc, then delete it when you're done with it.