I started using midi files with a Roland XP50 and had good success mainly because the XP could read on the fly. The negative side was I could only keep 30 or so songs on disk.
I switched to a laptop and now run the sounds thru an SC88 Sound Canvas. I can connect with a parallel midi interface or use the 'to host' connection. Or I can use the internal sound card (GS Wavetable) and run it straight to the amp. All songs are neatly arranged in a library and all songs are easily available and easily loaded. I have not had any experience with USB in this area. I think the laptop is the greatest because it frees up the keyboard and is very versatile; I have a few music programs loaded and can share the files easily. Also, having my files with me gives me confidence that I can play the files somehow; the LT give me many playing options.
I also have a minidisk (MZ-N707), but don't use it for midi's. I have seen some people use the MD to play what is actually a recording of a midi file that is loaded on mini. It's fast and efficient, if you're an organized person - no editing, no midi connections, very little risk of error, but songs must be organized by disk and you'll have to change disks per song, set, whatever... Most of these people use a larger deck with easier navigation controls - my MD is compact and navigation takes a few button pushes. You'll have to play all your midi files and record them into the MD, then organize them. I guess you could do the same with CD-R, except you couldn't rearrange, erase or add tracks as easily; but it would work, especially as a back-up system.
Whichever way you choose to play your files, be sure to have a back-up plan. As soon as you think you've devised THE WAY, you'll experience a scary event that makes you rethink everything. My files are on HD, 3.5 floppy and CD, plus on two other computers.

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Cass Pawlowski - Motown
PSR2000, SC88, Cakewalk

[This message has been edited by cassp (edited 05-28-2003).]