I’ve always just built a MIDI template in Cubase, started the transport, and let Cubase just record it all in one pass on the audio track(s).
I set up a Cubase Project and do the sampling part there. If resampling a plugin/virtual instrument, one can even use instant render instead of sitting there and listening to the thing run its cycles ‘live’. So, imagine building a MIDI composition that’d sample an 88 pad drum set from Grove Agent, at 12 different velocities each…and being able to just ‘instant render’ and resample the whole kit in less than 30 seconds 
I.E. If I know I want 3 seconds of something, every 4th interval, at 3 different velocities…I just throw it on a MIDI track real quick exactly how I want it. Usually sounds like a really boring etude when I hit play.
I’ll have Cubase play the MIDI composition and record it to an audio track at the same time (or instant render if resampling a virtual instrument).
Next, I’ll use that nifty feature of Cubase that lets you show the key-editor inside the project lanes to easily put the Cubase cursor where I want it and use the scissor tool to chop up the audio track accordingly. I can even name the separate events I made with the scissors in Cubase for good measure…and the names will carry over when I drag and drop.
In some cases, I’ll even go ahead and do some minor sample editing in Cubase itself. If I need to work with true surround sound samples and such, I sometimes go ahead and do some rough mixing/balancing and formatting here as well…
From there, it’s as easy as dragging and dropping the events from Cubase right onto the HALion layout editor. I don’t get into micro-editing and looping the samples until I’ve already got the rough design of the instrument in place. Pretty much a process of dragging stuff from Cubase onto the H6 zone map, resizing them for the desired velocity levels they’ll respond to, etc.
At some point, obviously I let HALion repackage the samples and discard unused junk from that big continuous audio file living in the Cubase Project/Audio folder…pack them into vstsound container, etc…but for the bulk of the instrument design process, it’s all just one large file living in the Cubase project’s audio folder.
In short…it’s pretty rare I use the built in H6 sampler when resampling, or designing a big instrument. I could see it coming in handy if I were doing some kind of live EDM stuff where you’re firing off fresh samples during a PERFORMANCE almost as soon as you made it…or if I were just diddling around in stand alone HALion, or working with a host more like Bidule or VIP (live performing)…but for resampling a whole instrument? Nah…skip it and make the samples an easier way