Ok, lets start with the TR Rack. In Global mode page 3 make sure it is set to midi channel 1. Page 8, midi filter-exclusive: ena. Page 9 memory protect-multi: off. Page 12, data dump- change prog to multi with +&-. If you are using Korgs PCIF change midi to PCIF if not just press ok to dump.
In Cubase go to options menu, midi filter and make sure Record Sysex is not checked. You can leave Thru Sysex checked, it prevents it from being passed on to other gear. Select a midi track. Make sure it is set to midi channel 1. Select the output you are using to dump ( Korg PCI? ). Solo the track so that the TR does not receive any midi messages from other tracks. Hit record and start dumping.
When you open the song, solo the sysex track and all the programs, fx, pans you saved will be restored. You can do this with programs and combinations as well.
One more thing. On page 16, global mode, select 38.4kbps for IBM PC compatible or 31.25kbps for Mac.
Have I left anything out? Let me know how you get on. If this does not work then you have to tell me a little bit about your midi connections.
Good luck!
mix