I'm pretty sure the Tascam manual had instructions for setting it up as a VST device for Cubase LE which was pretty much the same thing in SX.
However, one question, are you recording now and are you getting sound? If you are using the Tascam then its probably working somehow. But if you don't recall having set up VST devices then I don't think its working for you yet.
I can't remember all the details but it is in the manual. If you don't have it, go here to get it:
TASCAM
Page 20 has the steps on how to add the Tascam unit as a device and what you have to do to get it running. I highly recommend you read the entire manual cover to cover (twice).
With SX you have the advantage of using the Mixer to monitor your input levels easily. You must make sure you are getting input signal before you try to record. If you have input signal then you have things set up correctly.
As to your question about recording songs... yes you can keep adding new songs/sessions in one project.
I do that regularly. One project for each band I record. I just keep adding the next song at the end of what I have. I'm not sure of the time limit for projects in Cubase but I have projects with over 10 hours of songs/jams with no problem so far.
The hard part is organizing where all the songs are with one big long project. You can use markers or just write it down externally.