Yep.... that's what I figured you were trying to do. I think there may be a way to get better sounds using soundfonts if you want to go midi only...... I've never used soundfonts though so I can't comment. As far as I know there's no way to record the sounds off a keyboard without using the audio outs.

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John 3:16 For God so loved the world, that He gave His only Son, that whoever believes in Him should not perish, but have everlasting life.