Connecting to Airport Express via Ethernet Cable

Dear Apple Support Community,

My setup at home is such that all my devices are in such close proximity to the Airport Express, and therefore I connect everything to the Airport Express via ethernet cables (NAS, Apple TV, PS 3).

The final step in my network setup would be to connect my Macbook to the Airport Express to connect to the internet using the Ethernet Cables, instead of using the wireless connection - because my Macbook is positioned right next to the Airport Express.

However, I am struggling to get the Macbook to connect to the Internet via the Ethernet Cable through the airport express. Is there a special way to set this up if this can be done. I know Wireless would be the answer, but the problem is, when I download movies etc, I write the files directly onto the NAS which happens a lot quicker than doing so via WiFi.

I hope the above question makes sense.

Thanks in advance for any feedback.

Regards

ST