That's what I meant about them being tricky to find.
When you consolidate a file it'll 'bounce down' all the edits and fades but nothing else.
It just creates new audio wav files in the session 'audio files' folder, rather than asking you for a file name and path like regular bounce would.
My advice to rename each one afterwards is because it can be hard to find your new files, sifting through guitar_01_02_14.wav or whatever.
Consolidate then rename (within the session) 001 vocal, 001 guitar 001 bass.
That way they'll all be very easy to find.
You can even do this with the session open, copy and paste the consolidated wavs out of your 'audio files' folder, then undo, so your session remains untouched but you got what you needed.
Either that or do a 'save session as' new file name before consolidating.
Consolidate isn't really meant to be a tool for bouncing stuff out of a session, I don't think. That's just a happy coincidence.
I use consolidate when I've done stacks of editing then I want to run elastic audio or something.
Working with the markers is so much handier on a consolidated waveform, see?
If you're stuck I'll do a short video for you.