I have a Yamaha P120S that I want to use as a midi controller for my software synth. This keyboard doesn't have any midi control such as assignable knobs, pitch bend and mod wheel, so I want to get an Oxygen8 to add to this to complete the midi contolling capabilities. How would I hook the two up together so that both the keys from the P120s and the midi controlls from the oxygen8 will operate the synth software/sequencer. Midi Thru, Midi out/in? I'm really inexperienced at midi stuff.

The only was is a midi MERGE. You can get a usb unit for $60 at GC or most on line catalog stores. Midi through won't work. Both kbs need to use midi OUT going into the merge box, then you access the pc through midi IN.

Simple rule to remember:
Out to IN - In to Out.

If I send the Yamaha P120s midi out to the Ozone midi in, then send the Ozone midi out to the computer's soft sampler, it won't work like a chain? I can't believe they make 88 key digital pianos and then say they are midi controllers when they only have keys and no other controls. Is there no way to only have to buy only one more piece of hardware so that my 88keys can control a soft sampler with mod wheel, pitch bend, etc.? I have to get a merge box too?

Neither the Oxygen nor the Ozone has got a midi in. They have 2 midi outs and they're supposed to connect to a PC by USB. One of the midi outs is from the keyboard, the other one is from the computer, sort of half a midi interface.
A bit of a missed chance by M-Audio.

They also make merge boxes, maybe that's why.

If you have a midi in on your computer and a spare USB port, maybe you can connect the P120 with midi and the ozone with USB. Then you will have to use some kind of "virtual" merge box to internally merge the signals. Don't know if that's available.

I would go for the "hardware" merge box though, you always tend to end up needing at least one. I got one and cant do without it ever since.

I also got a PC1600x that merges the incoming midi data with it's own midi data. I would recommend it to you, but as you will have to program it in HEX it might not be the best controller for you.

I still need the merge box as well