1. Set up all your MIDI Tracks, instruments and external sound equipment, so that your Arrangement plays back as intended.
2. Connect the output of your mixer, synthesizer or whatever sound source you use, to the VST audio inputs.
To avoid feedback, make sure not to include the VST audio output in the mix.
4. Rewind to where the MIDI Parts start, and activate recording.
When you are done, stop recording as usual. You will now have audio Tracks that play back the sound of your MIDI equipment. You can now mute the corresponding MIDI Tracks.