You don't mention the model number of your speed controller so I can't give you a specific answer. If your speed controller is similar to that on Sherline models, take a look at this doc:
http://www.soigeneris.com/Document/Gecko/Using_the%20Gecko_G540_VFD_Output.pdfspecifically the picture on page 4 that shows the pot and run switch connections.
Presuming your controller has a switch for "run/stop" (called an "inhibit" switch in the above doc), then you will need to connect the 2 wires from that switch to J2 on the PMDX-407. It does not matter which wire goes to which terminal on J2.
The 3 wires from the pot should go directly onto J3. The only issue is figuring out which wire is connected to the speed controller's positive supply reference and which is connected to the negative supply reference (these are usually the 2 outer wires on the 3-terminal pot). If you have a volt meter, measure the voltage between the 2 outside wires from the pot. Switch the meter probes around until you get a positive voltage reading. The wire on the negative meter probe (usually the black probe) will go to the "Agnd" terminal on J3, and the wire on the positive meter probe (usually the red probe) will go to the "Aref" terminal on J3. The middle wire on the pot should go the "Aout" terminal on J3.
In the above mentioned doc, this would be:
P1 to the PMDX-407 J3 "Agnd" terminal
P2 to the PMDX-407 J3 "Aout" terminal
P3 to the PMDX-407 J3 "Aref" terminal
If your speed controller is nothing like the one in this document, then let us know the model number and I can give you a better answer.
Bob