In Reason add the modules you want and make note of the audio outputs they are cabled to.You can see by pushing the tab button on your keyboard.
On the respective MIDI tracks set MIDI To to be set to Reason and the setting right below it to be set to the device you would like to trigger.
On the respective Audio tracks set Audio From to Reason and the setting right below it should be set to the audio output of the respective device in Reason.
Make sure you have Audio monitoring enabled on the audio tracks you want to hear. You should now be able to trigger the respective reason modules via MIDI commands in Live and hear them back through audio in Live.