I use this combo all the time, and I think it is essential. I am running an Audio phile 2496, MPC 2000, Korg electribe and midi keyboard.
If you search there is and in depth explanation, search for Reason on this forum, and you will find it, but here goes.
Plug the midi out from the MP to the in on your computer interface, I also plug the midi in the the computers out.
Plug your midi keyboard in the the midi in on your MP.
Those are the physical connections.
On the computer, I open Abelton Live 4, and get the audio from the Mp coming in through the sound card, through my mixer.
Then I open reason, Read up on rewiring Reason and Live, pretty simple, make sure a channel in Live, is sourced from Reason.
So you have a beat playing on the mp, You want to use a synth in Reason.
Set your MP to a blank track, change it to midi and a channel, Start with 1A
Then go in to reason and if it is hooked up right you will see signal coming in on your channel 1 in reason. Assign a synth, and you should hear it in the mix.
When ready to record, record from the Mp. Ok I for got to say
Hit the EXT control button in Live so it syncs, which also means you have to send clock signals from the MP, which is under midi, in the manual
Different tracks for different devices in Reason.
PLay with it and read this forum is my advice. My explanation is probably choppy, at work you know.
I have a lot of fun opening up rex files and reseqencing the slices.
Hope this guides a little