In your metronome setup screen, make sure their is an output designated for your metronome whether it is the audio click, or the midi output. Personally, I hate the audio click. When I use the Cubase metronome, I assign it midi to the LM7 vsti that comes with Cubase. I assign the metronome to the clave sound that comes with Cubase in the LM7 under the percussion bank.
I see no reason to have to make a seperate MIDI file or audio file. Using the built in metronome seems like the best option to me because it maintains full functionality and versatility to change tempos, tempo map etc... with ease. I have assigned my click track in the shortcuts to use "C" as a shortcut command to turn it off and on. If you are worried about the CPU resources that the click track and LM7 use up then in my opinion you have huge resource problems already since this is about as minimal a power hungry VSTi you are likely to find in this day and age.