First, you need to have the MIDI OUT from your keyboard connected to the MIDI IN on the 001, and the MIDI IN from your keyboard connected to the MIDI OUT from the 001.
Then, you need to connect your keyboard's audio outputs to the 001 audio inputs. If your keyboard is stereo, connect the outputs to a pair of audio inputs (for example, inputs 3-4 on the back of the 001).
Then go into Pro Tools, and create two tracks. 1. One MIDI track (I assume you've already done this) with the input Digi 001 MIDI In, and the output Digi 001 MIdi Out... 2. One Stereo Aux Input. Set the audio input on this track to the inputs you connected the keyboard to (for example, In 3-4).
Now you should be able to hear your keyboard through the speakers or headphones connected to the 001, when you are recording or playing back...