Well, i better tell you how I use it... I installed yamaha modx drivers first as I do use MIDI through USB. I don't use the modx as an audio interface, I connect the audio outputs to an interface (alesis multimix) and from there I record audio to cakewalk.
In cakewalk I have enabled the Modx in MIDI devices (input and output for modx1, it also appears modx2 and modx3, you dont need those) so I can see those in the new midi tracks. That way each track in cakewalk has a midi channel assigned for recording and playback.
One thing to consider is that the MODX is always in performance mode, and some sounds use more than 1 midi channel, that means that you have to have a midi channel for each part in the performance, depending in how you have set the midi mode in the modx, for that part is better to read this link.
to record the audio, I set up an additional audio channel and use the input from my interface corresponding to the modx.