Loading tracks directly from rekordbox onto a CDJ is possible as long as you are using a CDJ-900 or CDJ-2000. The CDJ-850 does not have such functionality. You can prepare your tracks in rekordbox and then export them to an USB stick, as you rightly mentioned, but this is the only method.
You do not need to buy a separate soundcard to use VDJ with the CDJ-850 as the players themselves already contain a soundcard.