Set up the patch for each midi track the way you want it. Create a new audio track and labal it something similar to what you are recording. Arm the audio track and hit play on the midi track. Depending on the soundcard that you have, be sure to select it's output as the source for what you're recording. I've heard it's the "What you Hear" option on a SBLive.
Rinse, wash and repeat for each track. Be sure to mute the midi tracks and subsequent audio tracks that you are recording as you are making the recording or else you'll end up with all instruments on that one audio track. Cheers!
Dick