Hey there! The answer is yes. Once you have properly connected your Rode Wireless Go II to your Sony A6400 camera, the audio captured by the Rode transmitter/mic will be automatically embedded into your video. This means when you download the video to your computer, the audio should be there as a part of the video file.
Again, it should work automatically, but here are the full steps incase you need some further detail on this.
Connect your Rode Wireless Go II receiver to the camera using the 3.5mm TRS cable. Make sure to plug it into the microphone input jack on your camera.
Turn on your camera and press the "MENU" button.
Navigate to the "Setup" menu, which is the toolbox icon.
From there, scroll down to find the "Audio Recording" settings.
Double check the setting "Audio Recording" is set to "On". This means that the camera will record audio during video capture.
Then, find "Audio Rec Level". This setting controls the input level for the microphone. If you're using the Wireless Go II, you might want to start with a lower setting because this mic has a strong output. Adjust this setting as necessary to avoid audio peaking and distortion. You can monitor the audio levels on your camera's screen to make sure you're not peaking (the levels should never hit the very top).
You should also find an option for "Audio Out Timing". Make sure it is set to "Live" so you can monitor the audio input in real time with headphones.