I own both of these keyboards too, and they both have their strengths. Combining the two with a simple midi connection will be an awesome rig. My advice is:
Stack the PA4x on bottom, and run the audio out to the aux in on the SX.
Plug a MIDI cable from Korg OUT to Yamaha IN - set a midi preset on the Yamaha to either allow the Korg in, or not. This gives you flexibility to either control/blend the two together, or simply use each separate, like we did back in the days before MIDI.
I will echo Rikki's comment that the Korg keybed will feel so much better, and offer a wider dynamic range to the Yamaha's already wonderful sounds, so controlling the Yamaha from the Korg makes perfect sense to me.
This rig also gives you a PA4x with speakers ... as you will hear it coming through the Yamaha system. Nice.