I am trying to record a song I composed on a Casio WK 6600 keyboard onto Audacity 2.2.1 using the “line out” from the Casio to the “line in” on my laptop
(I’m using the headphone port on the Dell laptop for “line in”).
Problem is when I click the record function on Audacity and play the track from the keyboard Audacity records on its microphone, not through the line. Not cool…
Is there some setting I am neglecting on Audacity
Most laptops have only mic-in and headphone-out. A desktop or tower computer will have line-in, mic-in, and headphone-out.
The microphone input will “work”, but it’s a bad match and you won’t get good quality.
(I’m using the headphone port on the Dell laptop for “line in”).
Of course, the headphone jack is an output, where sound comes out, not in. 
If your computer has a single combination mic/headphone jack you need a special [u]4-conductor TRRS Adapter[/u] to make the microphone connection (Regular headphones will work fine.)
If you don’t have access to a desktop/tower computer your best option is a USB audio interface with line inputs. The Berhinger UCA202 is popular and (relatively) inexpensive. Do NOT get a regular “USB soundcard”. They are like laptops with only mic-in and headphone-out.
On my Dell laptop it is possible to toggle the mic “port” into a (much less sensitive) line-in socket.
That toggling is not an Audacity/Windows thing, it’s Dell thing.
[ I’m assuming you made a typo there: the headphone on the computer is an output, not an input ]
If you cannot change the mic-in on the Dell into a line-in, the line-in signal from the Casio will be way too strong : the sound will be very distorted.