What's your MIDI setup ? Internal synth (Soundfonts, DXi, etc) or external (External MIDI device like keyboards, module, etc)?
In case it's external :
Route your keyboards/module's output to line in of your soundcard. Set the kernel mixer to record from Line in of your sound card. Record to new audio track(S) within that poject. It's always good to keep each instrument in their own track so you can mix/edit the result later, once after you record them. But you can always just record 'em (the sequenced multi MIDI track's ) at once into one track, you just can't edit each instrument recorded later once you blend 'em in one track.
In case it Internal :
Set the kernel mixer to record from MIDI synth of your sound card. Then prepare a new track in your project, record the MIDI part into audio track(s), that's it.
After all, now you have all your project within audio track's. Mix them into two (usualy L/R or stereo) tracks and export the result into wav / mp3 files. Come back later if you have further questions.
Good luck...