I do this in Ableton Live on Mac OS X like this:
- Record my guitar playing just like I would record audio only, if I were creating just a guitar recording, playing/monitoring through NI Guitar Rig or similar
- Additionally, at the same time while recording in Ableton Live, I record video of my playing with either the Mac's built-in webcam, or with a completely external camera onto a separate memory card
- After playing (and recording), I import the video to Ableton Live as a video track, and align it with the audio, so it looks like the audio is coming from the video.
- As the final step, from Ableton Live I export the video, but with the Guitar Rig audio, to a video file. Before doing this you can also adjust the mix etc.
If you want to do it without importing, aligning, and exporting, you can output the audio from your audio interface's output to another input on the same machine. Or maybe without a hardware audio out/in, with an internal software loopback virtual audio device like Soundflower. Depending on your choice of DAW software, it may not be possible to record and playback to different audio devices. Ableton Live is able to use a different device for input and output, but AFAIK, Cubase is not able to do that.