You can use the export OMF function in Cubase. This will effectively create 1 file that has all the audio data (Including position, length, etc.). ProTools can import OMF files, automatically putting them back in place. However MIDI is only treated in the second version of OMF, which I'm not sure if ProTools uses, so if you need to export MIDI too you may need to eport it seperately as an SMF file.
Note: I have been told by a couple of ProTools Certified engineers, that OMF translation between Cubase and ProTools can be buggy. Not so much, form Cubase to ProTools, But when ProTools attempts to create an OMF to send back to Cubase, It often will create a corrupt OMF. I was told that if each file was bounced to a new identical file in ProTools before exporting to OMF, it seems to minimize this problem.
I usually stick with the render each track to a new a file approach, but that's because I usually only go to a ProTools studio for vocal tracking so I'm only creating stem mixes (i.e. 1 Track for guitars, 1 for bass, 1 for drums, and 1 for synths, and 1 for any existing vocals). And I only need to bring the new vocal tracks back into Cubase.