Hi Mark,
So far, I can only do it through Composer. Anyway, I might possibly be onto something. Since Audacity doesn't yet allow playing of midi files, I found if you open Composer and Audacity together, you can play a midi file in Composer, maximize audacity and select record and hear the midi file playing in Composer and record the keyboard in Audacity. I laid down a base and drum part in Composer and played it back and recorded in Audacity. However, the sound is distorted. But it shows it can be done. I was just having fun playing with it, though. I would probably use it mainly to record vocals with mp3 or wav files.
Fred