Claude: For best sound quality, do all your mixdowns in the keyboard, bypassing an outboard mixer, and record (into Cakewalk Audio) directly thru the soundcard's audio inputs. If you think you might want to do some 'post mixing' later on, in Cakewalk Pro Audio, then record each keyboard track separately into Cakewalk separately
With my Delta 66 soundcard setup, I opted for the Omni Studio I/O. This box is specifically designed to work with the Delta 66 and allows you to record several tracks at a time.
http://www.midiman.net/products/m-audio/omnistud.php