This is something I have started doing recently since I bought my new Keyboard. I like using Ableton Live and my VST plugins however I would like to use the sounds from my synthesizer.
Using my Audio interface I am able to record both Audio and MIDI at the same time in Ableton Live.
The setup is rather simple, I have audio L + R Cables coming from the Keyboard into my Audio interface. At the same time I am using two MIDI cable both IN & OUT to record the MIDI.
In Ableton Live make sure you have at least one MIDI and one Audio track. Hold CTRL and click on both record icons to set them in record mode. Press play on the sequencer and then play your keyboard and what both Audio and MIDI being captured at the same time. This is useful because not only do you have the Audio WAV file, but you have the MIDI file too which you can edit and use with different patches such as VSTs.
Playing the MDI file track also plays the sound back through your synthesizer if you have both MIDI cables connected correctly. This is another way to edit your notes if you don’t like using the synthesizer on board editor. I have the Korg Krome which has a decent onboard sequencer but it is sometimes easier to use the computer DAW and mouse. The sequencer is good for live performances.
See the video below