When I try to save an audio file in Finale it saves the GM sounds instead of VDL:2. This makes sense because there's nothing built into the program to record VDL:2 sounds when saving, but only playback.
All it really involves is importing the MIDI files from Finale into a DAW, reopening VDL:2 in the DAW software, setting velocities, panning, levels, and bouncing down to a 44.1kHz/16 bit audio file of your choice.
Jesse has a very good tutorial that walks through the process in Cubase (it will be similar in most other programs, all of them have the same basic functions).
If you're using Finale 2006b or later, it will allow you to record the sounds that are being hosted (VDL2) directly in Finale. This will only work if you are using VDL2 as a VST or AU plugin within Finale 2006 itself.
If you are using a version of Finale prior to 2006, or if you are using Sibelius, you'll need an audio recording program to render your file. Many people have reported good results from a free program called Audacity which can be found at: http://audacity.sourceforge.net/
Once you've created your .wav or .aif file, you can convert it to MP3 with a program like iTunes which can be downloaded for free (for Mac or Windows) from: http://www.apple.com/itunes/
The professional route would be to use a DAW type program like Sonor, Cubase, Logic, etc, but if you're looking for something cheap and easy, the above description seems to work great for many VDL2 users.