To set up Finale so that it plays back audio as you input it with a MIDI keyboard do the following:
In the top drop down options, go to MIDI.
Select MIDI Thru.
In the box that will pop up, select "SMART"

This will allow Finale to automatically send all incomming MIDI data directly to the Virtual Instrument that generates audio. One thing to note is that there may be some latency inovolved with this. You can offset some of the latency by doing the following:
Go to MIDI Setup.
Select Show advance.
In the bottom left of the MIDI Setup Window is a field where you can input a amount in milliseconds that will delay the MIDI input so that it is more in time with the audio generated. For Example a value of 250 would be approximately .25 of a second.