Today's soundtrack is Rammstein: Sehnsucht, a true classic. Released nearly 20 years ago, it has aged remarkably well. Anyone who can resist headbanging during "Du Hast" is a stronger man than I.
After installing VCV Rack, I opened up Reaper, created a new track called "VCV Rack," then chose the VSTi "VCV Bridge." Then I opened the Reaper audio preferences and unchecked the "Close audio device when stopped and application is inactive" setting in the main "Audio" options section. This allows us to hear the audio from VCV rack while playing with the console, as the program itself isn't a true VSTi, but a program that ports in through the bridge.
Back in VCV Rack, I set up a basic patch with a MIDI in and an audio out. I set my input to "Windows Midi" and my MIDI controller; I set my output to "Bridge" and "Port 1". I minimized VCV rack, returned to Reaper, and set my "VCV Rack" track's "Record" channel as "output: stereo". I tried recording and - voila! It worked!