Since i frequently use my Reason/laptop set up for jamming and hopefully for gigs in future, I think I should share my experience with all.
Firstly, as it has been mentioned, it is a must to get a soundcard. What kind of soundcard to buy (usb/firewire/pcmcia) will depend on the budget but most importantly the purpose of getting one are:
1. Solving latency issues
2. Number of outputs needed (at least 2 for stereo)
With an external soundcard, you can bring down your buffer setting as low as possible without compromising audio quality so that latency issues will not affect your playing at all. I've tried without using my firewire solo once, even with a latency at 50ms, when i'm playing 16th notes arpeggios, the latency is noticeable.
You will need at least 2 mono outputs well for the same logic why most keyboards have at least 2 audio outputs. With balanced/unbalanced outputs, you may or may not need a DI depending on how the stage/studio set up works.
As for the software Reason itself, it is a softsynth and it is not able to play other VSTs (the only downside and i hate it lol). However, it is possible to play samples if you incorporate the samples into NN-XT and keymap them. It is also possible to switch sounds around realtime during a performance. Just create devices for every individual sounds and arrange them in order as desired in the sequencer track. Once you've done that, there is a override command which allows you to program any changes, etc. Let's say, you wanna use a footswitch pedal to switch sounds, you can do so! Best thing is, if you sustain the current sound and then hit the footswitch for the next sound, the current sound will not be cutoff immediately until you hit your keys again! There is no lag or blank gap! woohoo!