Depending on how big your setup is, there are various ways to do this.
For example, I use the low-tech method of "hooking stuff up when I need it." I only have a few synths, and my computer moves around a lot, so it's good enough to just plug stuff in ad hoc.
If you have a main controller and several slaved synths, and everything stays pretty much put, you can get a MIDI interface with a MIDI Thru mode. For example, the M-Audio MIDISport 2x2 has a button that hooks the MIDI ins to the MIDI outs so that you can use your stuff without having software running. The MIDISport is considerate in that it doesn't require power for this feature to work, so you don't even need to have your computer turned on.
Then there's the thing you mentioned. That might be overkill for most people, but you didn't say how much gear you have. It's safe to say that it would probably do the trick, and then some, for most home studios.