Something like the M-Audio MIDISport 2x2 would make your life easier. You can go from the ESQ1 to the MIDISport In A, then from the MIDISport Out A to the Evolver, and the MIDISport Out B back to the ESQ1. When you're not using your DAW, there's a "MIDI Thru" button on the MIDISport that just hooks the Ins to the Outs.
If you've got a simple 1 In/1 Out interface, you can chain the stuff together as you said, but you'll still be playing with MIDI cables pretty often.