The Orange Line is located a couple blocks east over the Chicago River. From Union Station, walk east on either Jackson or Adams. When you reach Wells St, the station will be located at Quincy, which is right between Jackson and Adams. Just follow the signage to the Orange Line, as it only runs one way through the Loop. The fare will be $2.25.
Yeah just find the closest stop, probably Quincy or Washington. Just jump on the orange line on one of those stations. That will take you right to Midway.
you can catch it on the Loop elevated tracks just a couple of blocks east of Union Station