What host are you using?
If you are using something other than Cubase, all I can tell you at this time is that the host either has to support side-chaining, or some method of hosting HALion in an 'effect' slot instead of as a VSTi. Note, some DAWs might not yet support direct side-chaining to an 'instrument' plugin, but they 'might' allow you to run a VSTi in an VST effect slot.
I.E. Set up a 'group bus' and route your input into it. Host HALion in one of the Effect slots of that group bus. Go for a quad bus, or even a surround sound bus if you intend to use more than one set of outputs from HALion. That should force a connection into the inputs of HALion, and a set of outputs.
I've some Hosts that don't support side-chaining, nor will they let me load instrument plugins into an effect slot. In these cases I personally use Bidule (the VST version) which allows me to fudge HALion into an effect slot, and connect things where I want them.
In CuBase activate side chaining for the plug-in.
From here there are a number of methods to get audio into HALion.
1. If you have the input is a VSTi, or something configured as an 'external instrument' under "Studio/Audio Connections (F4)" it can be directly routed into HALion. Better yet, you can simply route one of the aux sends of the input to HALion. Probably best to set it to 'pre'.
Here you can see that I've got an external Roland Fantom XR that's connected to my Delta 1010 set up in this manner. When setup in this fashion the instrument configuration can be loaded in the instrument rack as if it were a VSTi plugin.
Yes, it can be convenient to connect mics this way as well. One advantage is that you get a set of AUX Sends that you don't get when you set them up as a regular 'input'.
In the case of my Fantom XR, can easily just route one of the aux sends to an instance of HALion with side-chaining enabled.
2. If have the connection into your audio interface set up as a regular input then you'll need to create an audio track. Route it to the HALion side-chain bus. Monitor the channel to get a signal into HALion.