You should be able to just send any devices audio into Cubase via your choice of audio outs connections (analog or digital) into your audio interface. If you want your drum track to play in time with Cubase's tracks from parts you've created within your Korg, you'll need to use some sort of sync protocol. Your version of Cubase should have settings & preferences from a tabs & drop down lists asking you how you want to sync...ie; showing selections like MMC, System Link etc, etc..If you're just playing/hammering drum beats on your keyboard live, then no sync is required.
Hint - for syncing options, look at Transport tab>Project Synchronization Setup & Use External Sync, and read up in your manual about it's uses.
For me, I used to just play my ekit live into my DAW via 1/4" analog audio out's, following a click and/or audio parts. I don't usually do that anymore because trying to follow my drumming threw my timing off on the rest of the tracks. Now I use midi
But really...if you're spending time creating drum parts within your Korg, why not just create drum parts within Cubase? Surely you can get started on songs by using pre-made drum rhythms from a Cubase template? I often like to start a song off with a drum software like EZDrummer, using the midi rhythms that come with it...they're played by pro drummers and have a lot of feel to them...as opposed to say, from an overly stiff Cubase template's drum patterns. I can also just use my keyboard to tap out a rhythm in midi, or use my ekit...but my ekit is really for doing my more serious final parts, recording in midi, and using proper (actual good) drum software.