To make sure Wave works with Steinberg's Cubase, navigate to the top menu of your screen to Studio → Studio Setup. The MIDI Port Setup window should have opened.
Find "Wave IN" on the list of devices and make sure "In 'All MIDI Ins' is enabled.
Cubase has mappings auto-assigned. In Softwave map the function you want to use to one of the following CC signals:
Wave should automatically control the selected CC in Cubase.
To assign Wave to a 3rd party plugin, solo the function you want to map within Softwave. Make sure your function has a dedicated CC number or Note (→ see Functions) that is not already auto-assigned in Cubase.
In the 3rd party plugin right click on the parameter you want to map. Many plugins allow "MIDI Learn". Select "MIDI Learn" if available.
Depending on which of Wave's functions you are mapping, move, tap or click on Wave to make the link.
Now De-Solo the function in Softwave. The function should be mapped to the parameter in the 3rd party plugin within Cubase.