What is the correct way to connect an MFX unit (Zoom G9.2tt, Boss GT-8, etc) to a mixer for live use? I own the Zoom G9.2tt which has stereo 1/4" outputs. For practice, I've been plugging the L and R outs of the G9 directly into the mixer. My patches are using cabinet simulator, and the sound is great.

However, I've read some people saying they use a direct box in between their MFX unit and the mixer.

The beauty of the MFX (in my opinion) is the flexibility of the different preamps without the need to lug amps around and mic them. I know most of you will prefer that method, but for the sake of this discussion, should I be using a direct box or not?

No, you don't need a DI box. As long as the device in use can send a line level signal, a DI would be a waste of money.
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I figured that would be the answer. Thanks for clarifying that for me.