That is guitar > pedal > line in as you said,Mark. Just use your normal guitar leads into an adapter as mentioned by Les..
My effects box (Boss ME-50) has to be powered up to work as a preamp, but it has the capability to bypass any effects to give a clean signal that can be set by its master volume if I wish.
Once you've sorted that the next problem you will encounter will be latency, (the delay between actually playing the note and hearing it come back through the speakers).
You will find advice on how to set up ASIO4ALL to combat this in
this post.
ASIO4ALL should work with Audacity,(I use AcidPro 6 to record so I can't be sure) but definately works with Kristal which is free to download also.