While adding the soft synth, select Midi Source (instead of Simple Inst. Track) and the First Synth Audio Output (or All Synth Audio, etc.., else there won't be any audio output).
Then you'll be able to access the screen below :
Plus or minus the keys by 12, 24, etc.. to get your correct sound octave.
Extra usage for wind instruments :
This is also the place where I will transpose it -2 (Bb) or +3 (Eb), and all of these will in turn respond to the project's master key change. So, I can enter notes in concert pitch and display in the correct transposed score in staff view.