Having an actual MIDI output (instead of USB MIDI) is a good thing, because this allows you to connect devices without a PC inbetween.
Rack-mount modules (e.g., Motif-Rack XS, Integra-7) are large, and correspondingly costly,
but there are also "desktop" modules, such as the Mobile Studio Canvas. It might be cheaper to buy some used, discontinued model (e.g., SD-20/50/80, SC-8820/8850, SC-88(Pro), MU500/1000/2000).
Using a PC/laptop is always possible (with suitable software), and switching tones through MIDI will work if your keyboard has the controls for that.
However, even with a good sound device (that has good drivers), latency can never be as low as with a hardware module (whether the difference matters for you is another question). Furthermore, a general-purpose machine always will have software/configuration problems, and might not be available when you feel like jamming.