Hi!

You cannot exactly record that what you play on your keyboard!
I would recommend you to set all effects and sounds with your sequencer (->use it as XG-device).
The easiest way to do that is via mixer maps, visit Michael Banz's site to download them: http://xgmidi.wtal.de

I've posted a midifile on my private server account which contains a complete XG-setup which all necessary settings:
http://members.tripod.de/Soundpool/Filez/SETUPXG.MID

I hope that helps you!

Regards,