Not sure I would call working with a DAW old fashioned
Yes, Derek is correct you cannot assemble a midi from separate midis on the keyboard. But you can lay the whole thing down, then work on it section by section till you are happy. For example you can re-do any section using overdub or drop in techniques, as long as there is something there in the first place.
If you are stretched recording whole songs in one go, do this as a basic technique…… get organized, then try to record the whole song at a slower speed. Don’t worry about mistakes, you fix them later. Just get something laid down. Then save it and also make a copy (in case you screw up later). Then start fixing errors and making changes a section at a time using drop in techniques (see your manual or a utube video on how). At stages along the way keep making a copy (name them xxx1 etc). Then you always have a back up.
When you are happy transfer to wav or MP3 on the keyboard.
You will probably get stuck on some steps to begin with, we all do. But ask specific question here and keep at it. It will get easier. But be aware that recording can be difficult for any less than experienced players. Your propensity to make errors increases dramatically as soon as you hit that record button.
Mike