Using controller lanes on the key editor inquiry

Hello, while watching tutorials, I noticed that when using cc7 main volume, he was able to utilize his midi controller to adjust this level by pressing record in the key editor. I have an m audio oxygen 49 IV and was wondering how I can edit controller lanes etc with midi. I am a total beginner and am still baffled by how to use the faders knows etc on my keyboard, only thing I am fine with is playing and the drum pad…

Help on how to set such up would be greatly appreciated/some info on how to utilize the knobs etc I have.