Try this. You can skip to step 3:
https://web.archive.org/web/20161024195546/http://www.steinberg.net/en/support/tips_and_tricks/archive_2011/cubase_6_split_audio_files_july_2011.html
If you’re using insert effects, you’ll want to use Render in Place first (render as separate events).
EDIT: Fixed broken link.