Is it the only way? Is there no option in Cubase 6 to do that?
Nope and nope.
If I have to install SX3, how do I proceed?
After installing SX3, use the Import function to load the old .ALL and .ARR files. Save the results and reload the newly created .CPR files into C6.
Most of the old files usually come back…but there are occasions where some of the old files simply won’t load…mostly due to corruption. Short of attempting to reload them on the original software and machine and doing a MIDI machine to machine transfer, there is no way to bring 'em back.
A word of advice. I don’t know if it’s a PC issue but if SX3 crashes when you first try to launch it, take the VST Plug-ins folder and temporarily move it somewhere else. This is an issue on the Mac/Intel platform and it solves the problem.