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Right, which is why I'd suggest you record your knob moves *only* for the external synths in one pass on, say MIDI channel 2.

Then when you're playing/recording your Kronos locally, switch the MIDI channel to something other than channel 2.

It would probably work rehooking up my midi as you described, but i can barely work midi at all. lol.
I will leave the simple basic midi setup as is, only because i would get to confused trying to hook up things in a way im not familiar with.
Again, thanks everyone for trying to help me with this.
If i figure out how to get external volume control i will post my findings.