Plug any device into your microphone hole (or any input). This page will visualise it in realtime.
The APEXvj sound settings are 2 channel, 16 bit, 48000 Hz. So make sure your microphone gives that out too. This might not be an issue on OSX but on Windows these can be set at Sound/Recording/Advanced/Default Format.
Note that if you're using a microphone, you may need to use headphones for any output in order to avoid feedback. If you are using a different audio source, such as a guitar or external audio feed, this may not be a problem.
If you're using some external source to play the sound out, you can put the volume of the visualisation to 0. It'll still visualise the sound, but prevent you from getting the feedback issues. In order to do this click the visualisation and select SETUP (or press Z-Key) from the up menu and adjust the volume.