I've got a Roland SC-88 (Third iteration of the Sound Canvas) and MT-32 connected to my modern computer thusly:
- M-Audio Midisport Uno USB-to-MIDI cable connects USB port to SC-88 MIDI-IN
- SC-88 MIDI THRU connects to MT-32 MIDI IN
- MT-32 sound output jacks connect to SC-88 sound input/passthru jacks
- SC-88 sound output jacks connect to sound card line input jack
This way I can turn on both and mute the SC-88 to hear my MT-32, or I can turn off the MT-32 to hear the SC-88.
With only one synth you can do what I did but replace the SC-88 with CM-32L and remove MT-32 from the equation. Basically you want the MIDI signal to go from your PC to your synth, and then the audio signal to go from the synth back to the PC's line in (so you can hear it out of your computer speakers).
BTW, you have to unmute your line in on the soundcard mixer to hear it on your speakers. Also, the USB-MIDI cable sets up a MIDI device in Windows that you need to set it to default and then DOSBox will send game MIDI to your synth.