Let me first say that I have been fortunate. A lot of good people have done lots of ground work for this project to happen at all, the internet is a wonderful thing indeed.
You are going to need quite a bit of patience for this project and all the software I have used is for a Windows PC. That's not to say that you cannot use a Mac, there maybe equivalent software to use.
In my opinion it's the software that makes this project work so well, the hardware is only half the story and can be completed in an afternoon if you are thorough. There are drivers to install to your PC and a little knowledge of how Windows works will help you a lot if you get into trouble.
Before building I would recommend you visit Xbee Radios and follow their tutorial for installing the FTDI drivers. You will need the XRF module and a USB programmer board for this. They have tweaked them so that you can run the modules at 31250 Baud yet trick Windows into thinking you have selected 38400 Baud.
There is also a link there for grabbing the Korg MIDI serial driver, however I think Korg have messed with the list as I could not find it, so go HERE and scroll down the page to find it.
To make programming the modules easier I would recommend going HERE and downloading the XFR config manager. I use it in the tutorial and it'll make changing stuff so much easier than remembering AT commands.