Many people get their first taste of MIDI when using Reason...Reason is basically a bunch of MIDI commands that generate audio sounds (e.g. recording midi with the keyboard, which also triggers notes on playback). There isn't much degree of audio in Reason, until you export the sounds...But, that's besides the point...However, Reason is mostly MIDI...
MIDI is simple, but can become difficult. Now that I just got two extra MIDI modules (including the MPC that I just bought), things are getting confusing. The confusion arises when routing becomes the issue. The issue is tied with flexibility. Personally, I like being able to use a master keyboard to trigger as many modules as possible; record midi notes; and have the ability to playback those notes on any of my modules; but that sometimes requires rerouting (which is annoying).
You can get away with what you're doing, but I recommend using midi cables for added flexibility, since you'll be able to have two devices working together as one. You'll be able to play, record, edit melodies; and have the mpc playback what you've just made. In your case, where you're working with chords, you can get away it... But when composing things like melodies, which are more intricate, I think it's much better to have it recorded into reason, and have the mpc control reason to play the midi back. Believe me, it's a lot better... And all it's gonna cost you is a single midi cable.
Go here for some basic info on midi:
http://www.borg.com/%7Ejglatt/tutr/miditutr.htm