Yes, what you are doing by saving midi files and playing them on your PC is using the computer to re-create the sounds made by the piano using the PCs synth.
So unless your PC has a very good audio card then it will sound bad compared to the one in the piano. Midi does not convey audio, simply datea such as speed and pitch.
What you need to do is get yourself some audio recording software (such as Audacity which is free) install it on your PC.
Then plug the piano into the line in on the PC, set audacity to record and play your tune. You can then save the raw version as WAV MP3 OGG etc. You can then edit the track as you wish then save that version. You will then need to use a CD burning programme (such as Nero) to make an audio CD compatible with other audio equipment, or simply copy the WAV files onto the CD if you only need to use it on a computer.
BTW WAV files are the best quality as they are lossless and use no compression, Mp3 and others use compression.
There is a more in depth description at wilkipedia on midi here.
http://en.wikipedia.org/wiki/Midi
http://en.wikipedia.org/wiki/Audacity
http://en.wikipedia.org/wiki/Wav
http://audacity.sourceforge.net/