Starting from an Init patch, cranking up External in the mixer and assigning it to the filters should be all that's needed, so I don't think you're missing anything. You need to press a key to hear anything of course, unless you've set the external input Audio Gate to On - it sounds like you have these things under control though.
The Gain knob can potentially be perceived as the "wrong way around" when you reach around the panel to turn it up. Other than that there should be no "gotchas".