I’d definitely recommend to put Nexus in a rack (requires Cantabile Performer) and create different rack states within that rack for your specific presets. Then you can use that rack within all your songs; changing rack states will then change Nexus presets automatically.
The advantage of using racks is memory efficiency, especially in case of pre-loaded setlists (something you’ll need when you want to switch songs quicky - essentially for live use). If you put Nexus into your songs directly, it will be loaded 10 times when loading a setlist of 10 songs; when the setlist is 20 songs long, it will be loaded 20 times, … There’s a limit to that, especially once you start using more than one plugin / VSTi. When you put a plugin into a rack, this rack will then stay in memory and be re-used across songs, so you can have a much larger number of songs in your setlist before you run into issues.
BUT: using a sample-based plugin in a rack means that it will need to load new samples whenever you switch presets - which will take time. Nexus is a bit of a mixed bag on this - it is a synth, but heavily based on multisamples, so you’ll have to try if the loading times are an issue. It may actually be better to have multiple instances of Nexus pre-loaded and simply switch between them, either as separate racks or directly within songs. Doing this at the song level doesn’t make a lot of sense, though, when you use the same sample set in multiple songs - it will be loaded multiple times when pre-loading…
I keep multiple instances of Kontakt in different racks, one for brass, one for piano; same with UVI workstation. For each, the actual sample set never changes - it gets loaded initially and stays as it is. The only difference between rack states may be EQ and effects settings. That way, I avoid loading times and still get to re-use across songs (I don’t want to load the same piano multiple times).
I’d recommend really digging through the user guides on linked racks and pre-loaded setlists - that will give you a good understanding of the memory and loading implications.