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.