Vortex Sound Research

Hi,

My friend recently lent me his micro Korg and I'm trying to get it working with my setup. I'm mostly a guitarist, and I don't have a stand alone audio interface, I just use my Line 6 Helix LT which connects to USB (and to my studio monitors) which I can record with in Ableton or Reaper or whatever. How would I go about connecting the Micro Korg? Is it as simple as getting some MIDI cables and plugging those in to the Korg/Helix? Will that transmit the audio as well as the key presses? Sorry, I'm pretty new to all this stuff.
Thanks in advance! All the best