I'm no MIDI guru, but I'll try and help.
I think "MIDI Thru" is essentially a copy of whatever goes into "MIDI In."
For instance, at home I have the following setup: (1) Virus KC (Synth + MIDI controller), (2) Yamaha Motif ES Rack, (3) M-Audio 2496 as my soundcard/MIDI interface.
To record MIDI the chain is:
MIDI Cable #1: Virus KC MIDI Out (Keyboard On) -> Motif ES MIDI In
MIDI Cable #2: Motif ES MIDI Thru -> M-Audio 2496 MIDI In
To play the Virus KC + the Motif ES Rack from my sequencer the chain is:
MIDI Cable #1: M-Audio 2496 MIDI Out -> Virus KC MIDI In (Keyboard Off)
MIDI Cable #1: Virus KC MIDI Thru -> Motif ES MIDI In
So, to play my synths from my sequencer, or to change my setup from configuration 1 (recording MIDI) to configuration 2 (playing via MIDI) I simply plug in the MIDI cable that is connected to my soundcard's MIDI Out port into the MIDI In port of my Virus KC and then move the cable that is in the KC's MIDI Out port over to the KC's MIDI Thru port (the other end of which is connected to the MIDI In port of the Motif ES Rack).
I have funny stuff happen if I leave the MIDI In cable in the Virus, so I only have it hooked up when I am playing the synth from the sequencer.
Maybe this solution is not technically optimal, or maybe it is, all I know is that I can record MIDI and play via MIDI with the switch of one cable.
I hope this helps.
