Arrange the devices in the order in which you want to chain them. The first device in the chain controls all the subsequent devices; the second device in the chain controls all devices but the first, and so on.
Connect a MIDI cable to the MIDI Out jack on the first device. Plug the other end of the MIDI cable into the MIDI In jack on the second device.
Plug a second MIDI cable into the MIDI Thru jack on the second device. If the device has a MIDI Out/MIDI Thru switch, set it to "MIDI Thru."
Plug the other end of the cable into the MIDI In jack on the third device. Connect a third MIDI cable to the MIDI Thru jack on the third device. Repeat the process until you've connected all of the devices that you want to chain together.
Press a key or move a control on the first device in the chain. The device sends the MIDI signal down the chain to the rest of the devices.