Laux, who played as a goalkeeper, began his senior career in 1993, with Borussia Dortmund. After one year in their reserve team, he moved on to SSV Ulm, of the Regionalliga (level 3). In 1998 the club was promoted to the 2. Bundesliga, which they followed with an immediate promotion to the Bundesliga, the top tier of German football. They went straight back down, but Laux was a key player, the only player in the Ulm squad to play all 34 games that season, and managed to stay in the Bundesliga, rejoining Dortmund at the end of the year. He spent two years back at the Westfalenstadion, serving as reserve goalkeeper as the club won the German title, and reached the UEFA Cup final. He left for Eintracht Braunschweig in 2002, but suffered an injury which forced him to retire from the game.