If you're working in Cubase, why not take advantage of the Media Bay? It was designed to quickly locate and audition (as well as tag and organize) samples, loops, midiloops, midi files, etc.
Tap F5 to bring it up, play around with it and read up on it in the Cubase manual.
You may need to tell Media Bay where your samples are living on your hard drive. Once you set up a node for the directories holding your samples......you're good to go. Pull up Media bay, limit it to displaying content in your desired folder....type in searches (and even use or set up tag based search frames), click anything showing you want to audition and press the play button at the bottom of media bay.
When you find something you want to actually try in Halion, just drag and drop it on the zone map desired in Halion.......
Here's a screenshot (Using 3 monitors so I've got it all spread out with things in full screen, but you can scale it down and arrange things as desired).
I'll often test stuff on a fresh unused key in my zone map (just drag it onto a key straight from media bay) so it doesn't matter what velocity I test at...once I like it I'll move it to the key and velocity range I want.
If you have Cubase Pro, you can also 'export' instrument tracks (or groups of them) into 'midiloops' that can be auditioned directly from media-bay without having to manually set up an instrument track and load it into the rack. This really comes in handy if you want to store an entire VSTi based 'loop' that you've built.
Halion is best when you treat it as 'an extension of Cubase'. It all has the capability to meld into one giant instrument. In fact you can sample, edit, and audition things right in the DAW itself onto a track, and then drag the track events right into Halion.
If you're not on Cubase, Halion 5 should also have a Media Browser of its own with audition capabilities. You can open it in a frame, or pop it out to its own window.
I.E. Pop it out to a window of its own, and then you can audition things and drag the ones you want right onto a zone's map.