Right click under the Audio track and choose "Add MIDI Track" from the menu. Set your left and right locators to where you want to record your MIDI data. You can also use the shortcut Alt+D.
Select the input MIDI channel of your outboard instrument on the MIDI track.
Test your set up. Make sure SX is receiving MIDI signal. You can verify this by looking at the MIDI track. If SX is receiving MIDI information then the Output Activity Indicators will respond by lighting up. Though this assumes you already have this set up, it's always safe to check again.
Place the Song Position arrow at the left locator. Press Record on the Transporter. If the metronome is on, it will give a four count intro click.
Play whatever you want on you MIDI controller. You should hear the sound and see the data being recorded as you play. The recording will stop when either you press Stop on the Transporter bar, or the Song Position Arrow reaches the right locator.
Activate an audio track that you want to record the from MIDI. You do this by selecting the track. Then open the Channel Mixer.
Play back what you recorded and make sure it's the recording you want. Edit the parts as needed.
Click on the Input of the track you chose. It should be registering the audio from the MIDI performance. Set the fader to the desired level.
Press Record. The track will now record the audio from the MIDI performance. This should register as it's being recorded.