This was written for Pigment, but it's almost the same for AL. I assume you followed Adrien's advice.
On the k37, you press Shift Chord to access a bank (let's say b1).
In Pigment and AL, you click the wheel on the upper right corner, the MIDI tab.
In the midi config box below, you will be offered a default or generic config.
Let's use the empty config to start by scratch.
Then you click on the Learn button below the config box.
The AL (Pigment) controls will be either purple (unassigned) or red (assigned to a cc#).
You click on the Macro 1 button in Pigment or the Brightness button in AL.
In the list box below Learn, the corresponding midi property (Control Brightness in AL / Macro1 in Pigment) will appear selected in the list under Learn.
You then turn the first knob slightly on the K37, the button will turn red. It is now assigned to the first K37 knob.
Idem for the other macros and K37 knobs.
Then don't forget to save the config renaming it as you wish (by default it's called User1).
Then leave the Learn mode.