A little bit more than five blocks from Jackson.
Another option is to put 25 cents more on your farecard than is required for your train ride. When you get to Jackson, use the Adams St. exit, and catch any bus* westbound on Adams. Will take you to Union Station. Bus will deduct 25-cent transfer charge from your farecard.
*If traveling during rush hour, route X28 will take you to Wacker Drive, which is across the river from Union Station (about a 1 block walk). All other buses will take you to Adams/Canal, across the street from Union Station.