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We would usually recommend connecting via the Aux paths of a mixing console. Aux paths are signal busses to which you can route specific signals.

Each channel strip on a mixing console has a level control for each aux path, this determines the signal portion routed from the respective channel strip to the aux bus. The signal is routed from the aux bus output of the console to the effects processor. Subsequently the processed effect signal from the effect processor is routed back to the console via the aux return or other mono/stereo input.

This way of connecting the FEX800 allows you to adjust different effect intensities for different instruments. For example, you could give a snare drum more reverb than a kick drum.
If your mixing console does not have Aux paths you can still connect the FEX800 directly to the main out of the console, however, doing it this way will mean all instruments will be processed with the effect and you will not be able to individually adjust the level.