Hello,
Your suggester 'Out to In and then THRU to the others' will probably be OK for the physical connection, but the more important question will relate to the midi channel configuration. You need to be able to configure each of the playing devices to RECEIVE midi data on certain channels ONLY, so that no channel is supplying data to more than one device. If you're using all 16 channels, and 4 devices, then each device could be receiving on up to 4 channels.
The sending (controlling) device could then send PC (Program Change) etc data on ALL channels, but certain sections would be destined for certain devices depending on the channel assigned.
You would need to check the specs for the devices you have, and work out how channels could be assigned between them. Some devices may be more flexible than others. Older keyboards for example may be very limited, more modern tone modules might be much more flexible.
Geoff