With an external synth you can just send the MIDI to the Korg and hear it during playback, while working on the song.

However, if you want a mixdown using these sounds you will eventually have to record them to an audio track.
You can record each track separately, or combine them into one stereo track, but in order for the 'Merge ..' function to work with an external synth, the tracks will have to be recorded as audio.

There is no way to 'Render' tracks from an external synth other than recording the audio.
This is true for all DAWS in general.

So send the MIDI out of RB to the Korg, and connect an audio cable from the Korg to RB and record these tracks directly from the Korg as audio tracks.
No amp/mic needed, just an audio connection from the Korg audio out to the computer.

This should be posted in the Realband forum, not Tips and Tricks forum.

Make your sound your own!
.. I do not work here, but the benefits are still awesome