If I follow correctly, you want to play your keyboard, and route the audio from the keyboard into the KP3 to add effects, and then route the effected audio into your computer to record with Reason. You can absolutely do this, and you'll need some way to get that signal into your computer. Your computer's soundcard can probably already do this. An "audio interface" is just a fancy soundcard. The term generally connotes more recording-oriented features such as multiple inputs, XLR plugs for microphones, and better quality components.
If Reason shows your soundcard under its list of inputs, then just use that to start with.
The basic steps will be:
- Connect your keyboard's output to the KP3's "line in" plugs. Then connect the KP3's "line out" to your computer's soundcard. You might need some kind of adapters to go from the KP3's RCA-style plugs to whatever your computer and keyboard have.
- Configure Reason to use the correct soundcard input. I have no idea how to do this in Reason specifically, as I don't use it. It's probably in some options menu somewhere. It's worth mentioning that in addition to setting that input, you may ALSO have to enable it or arm it for recording within Reason to hear any sound - just because it's configured doesn't mean that Reason is doing anything with it yet.
- Configure the KP3 to pass effected audio from its input to its output. This is probably already done by default. Check the manual if you're not sure.
- Record away!
I'm not sure if this is something you also want to do, but the KP3 has MIDI ports on the back which means that at some level it can send MIDI information, which might be interesting to use in Reason. You'll need a MIDI interface, which is the same idea as an audio interface - in fact, many recording interfaces include MIDI inputs and outputs. Again, check the KP3 manual to see what kind of data it can send.