You could also use File > Export > All Tracks as Audio Files.
This will export all the tracks in your project in one go from the beginning to the end of the song. You can then import the tracks back in ProTools. Take the time to name all your tracks before exporting because all audio files will be named accordingly.
Please note that export All Tracks as Audio files will NOT export your automation data and send effects. If you want to export Automation and Sends, you will have to solo each track and bounce them separately.