It is just like any other drum synth. Insert the SDX with "MIDI Source" and "All Synth Audio Outputs: Stereo" selected. Then assign the outputs in the synth to the tracks. In the case of SDX, open the mixer view and right-click on one of the outputs near the bottom of the mixer and select "Multichannel". This will setup the routing automatically. I believe the default tracks are:
Kick
Snare
Snare Bottom
HiHat
Toms
Overhead
Ambient Close
Ambient Mid
Ambient Far
Ambient Mono
Ambient Bullet
Of course, this is a simple multi-track setup, there are many other sophisticated routing options inside the SDX mixer.