I no longer have a Roland keyboard but this is what you should do. Look up the steps in the manual.
1. Hook up the keyboard with the USB cable
2. Set the keyboard to performance mode
3. Turn the local keyboard off
4. Set the MIDI input in PT to be the Roland.
5. set the MIDI output to be the Roland
What this does is remove the connection between the physical keyboard and the internal sound module.
You will be playing the Roland sound module through PT and back into the Roland's sound module.
Now when you set the MIDI OUT of the keyboard say to channel 1 it'll play whatever sound is assigned to channel 1
6. Hit record and record that part.
7. Now set the MIDI OUT to Channel 2 and it'll play what sound is assigned to channel2 and channel 1 you recorded will also play.
8. Keep doing this until you have what you need.

John
ESI Gigaport HD+
Lenovo Turion II /4 Gig Ram/ Win7x64 be
15.6" Monitor
"The only Band is a Real Band"
www.wintertexaninfo.com/BANDS/JohnnyD.php