You can't do a multitrack "export" in Cubase (in Cubase "export" is another name for "audio mixdown" - really click on export in the File menu and see what you get...ie: in the box mix). That being said, go back and read my first post...no, you don't have to do it one track at a time...
Keyplayer: The "Save Project to New Folder" method is a viable option. But I thought we were talking about switching projects between different applications. In this case, I assumed he'd want to use one of the platforms specific to that task.
Nuendo exports all project information and associated media via AAF, AES31,OMF and Open TL. When I pull down the Export folder in my menu all of those options appear.
I can't speak for Cubase, as I have never used it. That's why I just offered links for more info. But I'd always thought that the Cubase and Nuendo platforms were so similar that most of the same functions would apply. If that's not the case, then Jeremy should follow your advice, since it was a Cubase specific question.