I want to open a new velocity controller thing at the bottom of the MIDI editor, and set that to control cutoff (as an example). How do I do that? I've tried binding cutoff to a CC from my MIDI keyboard, then using the same CC number in the editor for controlling the VST, but that didn't work.

Not every VSTi processes CC messages and some are maybe not expecting these messages on the standard GM layout CC numbers. Refer to the manual/MIDI chart of the VSTi to find out on which CC number it lets you control cutoff (for example) and use that one for your controller and the CC lane in the ME.

I may be wrong but ... If a keyboard controller (sending say, CC #93) is mapped to a VST parameter, then the received CC messages are converted to VST parameter values by Reaper and those parameter values are passed to the VST. In that cases. MIDI CC messages in a MIDI clip would not be converted, but passed directly to the VSTi. As Steindork says, check the docs for your VST to see which MIDI CC# it responds to.

Well, in this case (Oatmeal), it doesn't have any CC bindings by default. It does have a MIDI tab with 6 slots though, where I can setup which CCs do what. Works as it should(!), just a shame about only having 6 slots. Thanks.