Well, there's no single right way to go about this.
First, there is the Elation controller, which honestly, I'd love to get my hands on. But, the money isn't there for me right now as I'm into something else.
There is the Behringer BCF 2000 and a fader controller one. Bear with me.
Korg also has the nano-series:
The nanoKEY is a keyboard, but honestly, it's kinda junky. If you're going to use this, KEEP it in the box for transport or expect it to get wrecked. I speak from experience.
The nanoPAD is notorious for pad failures, but it's either "great" or "blows" right out of the box. The X/Y pad can be used for mover control if you want, and the 4 banks of pads can let you trigger 48 scenes at a touch?
The nanokontrol is a fader controller with knobs and buttons. You will need to use the configuration tool to turn the buttons into notes or program changes to use them to trigger scenes in MyDMX. Knobs and faders can be assigned to DMX channels for direct control.
The reality is that MyDMX will only recognize 1 MIDI device at a time if you're talking USB-connected MIDI devices. So, you need to find a controller that has the functions you want/need because you're only going to get one device. If you go with a USB-attached MIDI interface, you have more options based on what you want to connect there, but recall that you need to be careful how you wire things and you might need a MIDI router or combiner to consolidate your MIDI OUTS.
If you're using some other MIDI application, DO NOT expect to share the device between programs. Also, MyDMX must be the foreground application to respond to MIDI, which almost negates what you may have been trying to accomplish.