Converting MIDI to audio in Cubase takes a few steps. First, make sure your MIDI tracks are exactly how you want them to be. You don't have to add effects at this point. You can add the effects to your audio tracks later. Also, if once you have converted MIDI to audio and you do not like the way it comes out, you should not erase your MIDI tracks in case you decide to change your MIDI programming and reconvert to audio.
Solo the MIDI track you wish to convert to audio. If you have all your MIDI tracks mixed the way you want them and you do not want to change anything, including the levels, you can leave all the MIDI tracks not soloed and record all the audio at once. It is advisable to record them one at a time, however, because mixing audio may come out differently than mixing MIDI.
At the top of your program, select "File," then "Export," then "Audio Mixdown." Your MIDI track or tracks will now be in .wav format where you save your files.
Select the audio track you want your MIDI audio to be in for mixing. Import the MIDI to audio track you just created and it will appear in the audio track you have selected. You can do this for each individual MIDI track if you like and have each track on its own audio track. Now you can mix the MIDI into audio as audio tracks.
If you have any effects on your MIDI tracks, make sure they convert to audio. It is a good idea to check each track of MIDI to audio as you go to make sure it sounds the way you intended it to.