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I got this working today, all I needed was an M-Audio Midisport 2 x 2 Anniversary unit - http://www.m-audio.com/products/view/mi ... r9m3DZ8HMU. I've had one kicking around I didn't use any more.
Power it with USB (just used an old phone USB socket) and set it to merge. I was tidying my 'space' so after I got it working I stuffed all the cables away and forgot about it - later on I couldn't work how I did it but it was working - I could record and hear at the same time. The recording back was heavily quantised obviously but that's an effect I quite like - doing similar with my Volcas.
So the connections are
Midi keyboard -> Midisport Input 1
Midisport output 1 -> E2 Midi in
E2 midi out -> Midisport Input 2
Midisport output 2 -> whatever
I've written in and out numbers but it doesn't matter - it will take two inputs and merge them, spitting the result out of both outputs - the numbers are immaterial. If your end devices have midi thru you can chain about three together. In my case the output went to a midi splitter so I now have 4 volcas, a shruthi, Waldorf MicroQ and an effects unit all receiving data direct from the keyboard or the E2.
I was thinking that I'd get some form of feedback from the output of the E2 back into itself but it didn't happen. I guess it just records it's own notes exactly the same back into itself. I only played briefly with it but the basics worked. Will try and spend some more time with it tomorrow.
The Midisport is 35 quid in the UK plus you'll need midi cables (of which I have an insane number), a USB cable and a USB power adapter (ditto the insane numbers).
DO NOT GET the Midisport 4x4. It does not do merge. In fact, I wouldn't buy anything until I confirm a bit more how it acts in the real world

Also means I'll stop worrying about the battery now as it's pretty much locked in space!