At the bottom of the Reason window, the timeline is visible, it looks like this:

The P tab is covering the "L" tab which sets the beginning of the loop and the "R" tab marks the end of the loop. You can toggle the loop to be on and off with the "Loop on/off" switch near the bottom. To record any instrument, first you make sure the symbol looking like the midi cable is next to the instrument you want to record which looks like this: then, you drag the "P" tab to the desired part of the song then prime for recording by clicking the red record button: then you click the play button: and record until you wish to stop and then click the stop button:

Next up is Saving and Exporting.