Right click your midi item(s) and select "Apply track FX to items as new take". Now you will have your midi and audio on one track. You can select multiple tracks or items and do it with a single click. Pretty cool huh?
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If you want to use the original sounds from the Korg you would route the midi from Reaper to the Korg and plug the audio outs from the Korg into your computer for Reaper to record.
Take the outputs from your Korg and plug them into channel 1 and 2 of your sound card. Create a stereo track and set the input to 1/2. Arm the track and punch the record button. The output from the Korg will now be recorded on the new track as audio.
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