Sounds like you are going to play them through your keyboard which is probably the best route.
Brings back memories though. I used to play all my MIDI files through Paula. It might have been the GMPlay program on Aminet, but I can't remember.
I know it came with tons samples for all the standard MIDI isntruments. You could change them around to make the MIDI file sound how you wanted.
It was a great way to listen to MIDI's I remember that. This was long before AHI or anything like that. Pretty sure it was my A1200 and I must have had the 030.
Have to go play with this!!