I have a real Roland MT-32. Does anyone know how to enable it in the GOG version of Ultima Underworld?

I presume you found your answer already, but just in case:

Click this link.

The GOG versions use DOSBox, so those instructions should work.

Of course you must also connect your Roland MT-32 to your PC with some kind of USB-MIDI adapter, unless your computer already has a working MIDI Out-port.

However, I'd suggest using the Munt emulator instead, with Roland CM-32L ROMs, That way you will get the right sound effects as well (at least the first game uses some sound effects available only with Roland CM-32L and LAPC-1, unavailable on the older MT-32).