How-to? Alesis Qs8.1 + M-audio 410, A basic question from a Newbie! Options

[Tripper]

Hello!

This is probably the lamest question ever...
but I just bought an M-audio Firewire 410 and I am trying to get it hooked up to my Alesis Qs8.1 so that I can begin to record with Logic Express.

I set up the Midi In/Out from the keyboard to the Firewire and Logic Express recognizes the Midi Data from the keyboard if I hit the keys....
And I have it set to MultiTimbral....and all that.
***However, I hear no sound***

I would like to hear the sounds of my Alesis Qs8.1 through the M-Audio. (I have headphones attached to the M-audio) How do I get the Alesis sounds to record as Midi AND hear them?

Does this mean that I have to connect the "audio out" of the Alesis to the "audio in" of the 410?
I hope someone understands what I'm trying to accomplish.
Any help would be greatly appreciated!!!

Thanks,
Jon