We use reverse non-equilibrium molecular dynamics (RNEMD) simulations to determine the thermal conductivity in $alpha$-RDX in the <100>, <010>, and <001> crystallographic directions. Simulations are carried out with the Smith-Bharadwaj non-reactive empirical interatomic potential [Smith & Bharadwaj, J. Phys. Chem. B 103, 3570(1999)], which represents the thermo-elastic properties of RDX with good accuracy. As an illustration, we report the temperature and pressure dependence of lattice constants of $alpha$-RDX, which compare well with experimental and ab initio results, as do linear and volume thermal expansion coefficients, which we also calculate. We find that the thermal conductivity depends linearly on the inverse temperature in the 200-400K regime due to the decrease in the phonon mean free path. The thermal conductivity also exhibits anisotropy, with a maximum difference at 300K of 24% between the <001> and <010> directions, an effect that remains when temperature increases. Thermal conductivity in the <100> direction is mostly between the two other directions, although crossovers are predicted with <001> at high temperature, and <010> at low temperature under pressure. We observe that the thermal conductivity varies linearly with pressure up to 4 GPa. The data are fitted to analytical functions for interpolation/extrapolation and use in continuum simulations. MD results are validated against experiments using impulsive stimulated thermal scattering (ISTS) on RDX single crystals at 293K and ambient pressure, showing good qualitative and quantitative agreement: same ordering between the three principal orientations, and an average error of 10% between the experiments and the model. These results provide confidence that the extracted analytical functions using the RNEMD methodology and the Smith-Bharadwaj potential can be applied to model the thermal conductivity of $alpha$-RDX.