importing from digital piano

Hi, I’ve just downloaded the 2.4.2 version. Never used Audacity before. How do I import what I’m playing on a digital piano please?

Sorry, I should have been clearer with my question. I have connected my Roland digital piano to my laptop with USB midi cable. There is an option on Audacity to import midi files but my piano is not showing as a potential host. Hope that makes sense.

Audacity can’t record MIDI (Audacity is an “audio” recorder, not a “MIDI” recorder).

The video tutorial that Trebor posted is correct.
Also, in the Audacity manual: