If you want to keep it HD, and use your Xbox One for playback, you’ll need to make a properly formatted Blu-ray or AVCHD disc.
Load the MKV into tsMuxeR and have it build you a Blu-ray or AVCHD folder, then burn that to a disc (BD-R or DL DVD-R respectively) with ImgBurn.
If you want to use your DVD player (and it doesn’t have MKV or AVCHD support) you’ll need to completely rebuild each film as a standard def DVD. Last I checked, ConvertXtoDVD was a decent all-in-one tool for doing that.
So I did the tsMuxeR and it came out with a whole bunch of different files and folders. Do I just put all of it into one folder and burn that? It came out with two folders BMDV and CERTIFICATE. BMDV contains 5 different folders.