Here's what I learned getting it to work... First, I like to record at 24 bit 88.2 and after following the instructions on this thread...
http://forum.cakewalk.com/tm.aspx?high=&m=2708854&mpage=1#2709067 I am able to have 2 tracks not frozen at 88.2 24 bit with th2. This helps me.
Next, I run the midi out from my GR20 to my midi in on my m-audio fast track ultra.
I open X2, click P > Midi Devices and ensure the midi device is checked and click apply.
Next > Controllers/Surfaces > Yellow Star Button > Act Midi Controller Choice > In Port = Fast Track Ultra In > Out put = None > Act Checked > WAI unchecked > Apply.
OK to return to main screen
Utilities > Act Midi Controller 1 > This opens the Act Midi controller screen which will follow the control with the focus.
Next, Add and audio track to your project and TH2 to the FX Bin. I had trouble using it through an FX Chain in the Pro Channel. (you can drag an FX Chain to the bin and extract it). Double click the TH2 to open it.
In the TH2 screen, add a volume pedal or any other thing to the signal chain. Drag the volume pedal itself to one of the array of smart buttons/switches/nobs at the bottom of the window... this will then enable you to assign a control from the pedal to that button or nob.
Now > Bring the focus from the TH2 window to the Act Midi Controller Window. The Act Enabled Device (see bottom left of this window) should say TH2-64. The array of smart controls should be across the top row in blue.
Click the smart control you want to automate with your pedal on the bottom half so it says 'midi learn' and then move the pedal. If it is working properly, it should immediately begin to read the value from the pedal and apply it to the smart nob... so on the window for the TH2 you will actually see the pedal rising and falling as you move your real life pedal.