live monitoring in VST

[RayMan]

well that was a quite interesting chat on live monitoring or monitoring with fx in Cubase SX, but Alejo noted, that he had done this with Cubase VST as well. Im running a audiophile 2496 with Cubase VST, and would love to have the chance to add a little fx to the monitor sound.
I know that I've seen the option, but just activating is probably not enough?

Thanks for all advice!