Drag works with method mentioned by Brian.
There is another way you can try. From the mixer. Grab the header of Midi track and drag it directly to DAW.

However... it was asked for some time to be able to save individual tracks for midi.
I proposed to do it similar as you would with standard RT/RD tracks (Right clicking on track>save track as WAV option):
Same for Midi tracks: Right click on track >Name IT>Select folder>Save.
Unfortunately, still no way that I know of to save individual MIDI track(s) for project.