Seperate Headphone mixes

Maybe it is listed here somewhere but can anyone tell me how to do separate headphone mixes in cubase 6.5, i am using a Presonus firestudio project interface, i am recording a 4 piece band and they each want a little someting different in their headphones. The presonus has multiple output so I believe it can be done, just not sure how to set it up in Cubase.

If you don´t use the control room: Create output busse and use regular sends
If you uise the control room: Create “Cue” busse aund use “cue- (or maybe it´s named “Studio-” in Cubase 6) sends”

Thanks so much, I will give it a try.