Longtime cakewalk owner here.  I've owned Cakewalk products since Cakewalk Pro Audio 9 but have never bounced any tracks to audio.  Weird?  I know.  Well I'm finally ready to bounce my instrument tracks to audio and I wanted to ask exactly how to do that.  From what I gather I should bounce each instrument track to an audio stereo track then I can mix the tracks then from there I go File- Export - Audio?  

Hey, that IS weird
 
Instrument tracks: Are we talking hardware midi instruments or softsynth instrument tracks?
 
If they're softsynths, you don't need to bounce them beforehand, if hardware you need to record their outputs to audio tracks. Remember to select everything before going to export!

Softsynth instrument tracks.  Thanks so much for the info!  

Also quick question so being that I don't need to bounce the softsynth instrument tracks that means I can apply mix affects directly to the instrument track?  
 

Rhytenow
Also quick question so being that I don't need to bounce the softsynth instrument tracks that means I can apply mix affects directly to the instrument track?  
 

Sure!

WOW!  My head is blown! lol Thanks again!

If your computer is up to it, ie: you're not trying to run 100 tracks EWQL or whatever, there is no direct need to bounce soft synths to audio before mixdown.
 
An instrument track is simply a Midi track + Audio track merged together to make things easy. You supply it with midi, you get back audio.  You can put whatever audio effects (including ProChannel) that you want on it.
 
If you find you're running low on CPU and your convolution reverbs are stuttering you can apply "freeze" to the instrument tracks. This does a temporary, reversible, bounce to track for that synth and then switches the synth off. You can still process the audio just as if it were a live synth, but you can't make edits to the synth or audio.  To do that, you un-freeze it.

Are there any advantages/disadvantages of bouncing them down to audio?
 

Rhytenow
Are there any advantages/disadvantages of bouncing them down to audio?
 

It will free up CPU to do other things,  but if your computer is up to the job there is no need.

I'm old school so I always freeze VSTi's as I go.  I then copy and paste the resulting audio to a new track, unfreeze the old one and archive it so it doesn't use CPU.  Then I mix the audio (and may add effects to the frozen audio).  My computer is fast enough to do it live, but w/ tape I never had enough tracks to sync to midi so I recorded the synths to tape.  It worked, it works.
 
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