Always happy to help!
LMMS is Linux multi-media studio , no? If you're on linux then try SooperLooper instead. If works with the Jack audio system and it should be easier to set up. A really easy way to set it up is through Ubuntu Studio OS or their installer for linux OS's (I've used their installer to add jack to Kubuntu, for example.)
I don't think you need to buy any special hardware, you just need to dive deeper into using a virtual patch-cage for your applications.
A patch-cage will operate as the hub where you view/edit your virtual connections. Think of it like having a bunch of guitar pedals plugged into each other.
You can easily connect your mic into your looper, send you keyboard into a synth program then send that into the looper. The output can easily be sent both into headphones and into a recording program.
Jack is available on windows but I have no idea if there are better programs on windows for this.