Hi John,
From what I read of your description, I don't think you need to get a USB MIDI in/out device. I used to run MIDI in/out from a Soundblaster Live and it worked fine. It was quite a while ago though. I used the joystick socket and the plug I connected with had separate In and Out cables.
It sounds to me like you have the "Out" of your MIDI connection (on the computer) already connected to the external device but you are not hearing anything. Am I correct?
If that is the case, Try "Opt | Preferences | MIDI Driver" and set the "Output driver to 'something' I/O. (e.g. on my computer, I have a Creative Audigy 2 ZS and the "Audigy 2 ZS MIDI IO" seen in the image below is the driver that sends information to my external device.) You'll also need to deactivate the VST/DXi synth, though, as that is an internal one.

Lastly, you'll need to exit BIAB and restart it for these settings to take effect.
I'm not sure that this will solve your problem, but it's where I'd be looking if I was trying to solve it.
Hope this helps,
Noel