If you are totally happy with your midi parts and will not be editing them in midi format, you can also do an export mixdown and bring them back (check the right box in the mixdown window) into the project as audio. Then they will be audio tracks.
And here Chris makes a good point, for either format (midi or audio), it is typically best to create an FX channel and add the efx there. Well, unless your DAW is overworked by the 'live' process.
Cubase 6.5 (6.5.5) and 5.5 (5.5.3), WaveLab Elements 8, iC Pro remote app, LoopMash HD, Win7 64-bit, Intel C2Q9550@2.83GHz, 8G ram, Radeon HD 6570, Gigabyte X48-DS5 MB, Mackie 1640i (FireWire), M-Audio Keystation 61es controller via an M-Audio Midi-Sport 1X1.