Look at Devices > VST Instrument Rack. If you open a VST Instrument there
you can send the midi data from different tracks in Cubase to different instruments
in Halion. And there’s a small arrow which points down in the rack right to the instrument where
you can add new audio outputs for the instruments.
This video describes it very well. Have a look at 4:55:
You can do the same thing with the different instruments of halion which makes it a little easier.
And well, for my case more VST Instrument instances mean less CPU Power.
Best regards.