Edirol (Roland) make a USB to midi adaptor (UM-1) which can send and accept midi data.
So you can actually have a laptop running a sequencer sending midi out data to your external synth modules, and then connect the audio out from the modules to your audio interface / sound card inputs and record on a second program (a recording program like n-track) running under the same copy of Windows. (I actually run audio back in through a second USB port).
Some sequencers (like n-track etc) enable midi and audio tracks to live side-by-side. So you can import a midi sequence into one track, then route this midi note data to an external synth module and record the module audio on a different track.