I use the same setup.... an XP-30 with Cakewalk Pro Audio 9. The easiest thing to do is to create a blank performance (with any sounds...it doesnt matter, and with all the midi channels set up the way you want and all the balance and velocity settings at a reasonable level.) In cakewalk, you can just pick what sound you want for each track by selecting a bank and patch under the Track Info screen. Then whenever you hit play, the keyboard will change its sounds to match whatever cakewalk is playing.