I had the same issues with my Kc, also my first hardware synth.
Here's my take on MIDI 101; I am no expert, but I can do what I need to:
Recording a MIDI track:
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(1) KC MIDI Out port -> MIDI In port of your MIDI Interface (MOTU Traveler, Audiophile 2496, etc)
(2) In your sequencer, setup a MIDI track. The input of this MIDI track should be the same MIDI port that your KC is connected to.
(3) Click record, play your desired melody, sequence, etc.
(4) Click stop.
(5) You're done with the recording.
Playing Back a MIDI track through your KC:
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(1) MIDI Out port of your MIDI interface -> MIDI In Port of your KC
(2) Open your sequencer.
(3) Open your song with the desired MIDI track.
(4) The track's output should be the MIDI Out port of your MIDI interface, the same one that is connected to the KC's MIDI In port.
(5) Make sure the track is at 0:00 time (not at the end where you stopped recording)
(6) Click the play button. Your sequencer should send the MIDI notes which were recorded in the track to your KC. It should sound just like when you played it, note for note. Now you can try different patches and tweak them to your heart's content.
(7) NOTE 1: The KC's main outputs should be connected to your mixer or audio interface. These inputs should be active when trying to playback, otherwise you will hear nothing...
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If you wish to record the audio of the KC being played by the MIDI track, then just setup a stereo track, being fed by the audio inputs that the KC is connected to. Arm the track, click record, then play the MIDI track. Voila! The MIDI track sends the note information to the KC, the KC creates the audio, your audio input translates it through its digital/audio converters and sends the signal (now 1's and 0's) to the assigned tracks in your sequencer.
Playing Back a MIDI track through a Soft Synth:
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(1) Open your sequencer.
(2) Open your song with the desired MIDI track.
(3) The track should have a soft synth plugin assigned to it.
(4) The track's audio output shoud be the main audio output of your DAW.
(6) Click the play button. Your sequencer should send the MIDI notes which were recorded in the track to the soft synth. It should sound just like when you played it, note for note. Now you can try different patches and tweak them to your heart's content, and try different synths too.
I think this is correct. If not, someone please edit. Dinner's ready, gotta' go!
Regards,
-Alex