Pro Audio Support

Q:
Cubase SX or Nuendo I want to apply the internal effects to audio/line input (electric guitar and saxophone) as I record it.
 
A:
This is possible with both Nuendo and Cubase SX.
Create an Audio track, then hit F3 to open the mixer.
Notice that you have 2 mixer channels. The one on the left
is the Input channel, the one on the right is the Output channel.
Make sure that you have the "Show Inserts" Section of the mixer enabled (this is on the list of icons on the far lower left of the mixer page, looks like a grid with 9 rectangles, 6 larger and 3 smaller, make sure the all of them are selected so you can see the entire channel)
Click on the top insert slot in the Input channel (the one on the left) and insert whatever plug in you want to track with.

Note: Try running with as low a buffer setting as possible (Devices-Device Setup-VST AudioBay-Your interface-Click on the "Control Panel" button and adjust "Samples Per Buffer" to 128 and try it.)
If you get clicks, bump it up to 256, or 512.
Depending on your computer power and audio card, latency whould me manageble.