Yes, it's possible. Probabluy no one would buy Cakewalk if it didn't do this.
Here's the basic idea --
Let's imagine you have three MIDI tracks that are assigned to the Yamaha SXG70 SoftSynth. Imagine you want to record each to its own WAV file so you have them in audio form for processing with effects and mixing down to stereo.
You can do this quite easily. Make a new audio track and set its source to either the left or right side of the WAV In device (or stereo, but it' s much easier to work with mono tracks when mixing, and takes less space on the hard drive.
Now arm it for recording. Set the first MIDI track to Solo (or mute everything else but this track). Make sure that the metronome is not set to tick away in record or you'll record its relentless ticking as well.
Then click the Record button. The sound generated by the soloed MIDI track should now be recorded as audio into the WAV In port.
At the end of this, verify it's OK by soloing the new audio track...
Then repeat the same steps for each of the remaining two tracks.
If your entire piece is MIDI and you just want a stereo track, you play all the MIDI tracks you want and record them to a single stereo track.
If you don't get anything recorded in the audio track, it probably means that the MIDI Synth is disabled as a source into the WAV In device. This document will set you straight about that:
http://www.cakewalk.com/support/lessons/windowsmixer.html