Audacity is awesome... Its free and does everything the basic home user could possibly need. Also has a nice free plugins pack you can download, and works well with LAME MP3 Encoder. And it can take input from a Midi-in card. I toyed with it for quite the while.
As for the problem, one solution I thought of, since I'm infering you're using the synth module's sound banks, is from the synth module if it has a 1/8 or 1/4 output, running that directly into the regular line in on your sound card (in the case of the synth module only having a 1/4 output, using an 1/4 -> 1/8 adapter) and going that way. The sound quality won't be too much of a loss if you tweak it correctly; though that will be depending on your sound card.
CEP should have no problem capturing from there.
If you're using a VSTi or DXi (forgot if CEP even has the support) soft synth, you're gonna need the midi i/o to work.