Without getting into how to set up patches, the DJX allows for a shortcut.
In the function section there is a command that says Transmit Init Data.
What you should do is this,
1) Start your sequencer,
2) Perform the Xmit Init.
3) Stop the recorder
What this will do is set up 16 channels of your sequencer with what the DJX currently has set.
(People generally use up to the first 4 measure of a MIDI song to store this set up data)
No when you get readt to sequence - you can start recording at measure 4 and ensure that when you play back, you will have all your settings.
Hope this helps.