Never tried but should work:
# in R
library(makecdfenv)
make.cdf.package("<filename>.cdf", cdf.path="<folder where the .cdf file is>", compress=FALSE, species="Your_species", package.path = "<output folder>")
# on the command line
# R CMD INSTALL <output folder>/<filename>
# again in R to load it
library(<filename>)
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