There are two ways to accomplish this:

1. Simply record the Sysex message as a regular MIDI track. While this is the most basic and offers no real flexibility, it's the quickest to get setup.

2. Go to View - Sysx. Press the red down arrow to Receive bank. It will ask what type of device you are receiving from. If your device is not listed there, choose the first option: "You start dump on instrument".

It will tabulate the number of bytes received. When finished, click the Done button. It is now stored in Bank 0 (there are 8192 locations for messages in this window). To play it back into the keyboard/module, if your device needs to be in a 'SysEx Receive mode' set it now. Then you can simply highlight the desired bank and press the blue/black up arrow and it will automatically send.

You can save or load an individual bank by using the floppy disk icon or open folder icon. This will save only one bank. You can also name them with the abc button.

Basically, here you can organize your individual settings or custom patches, loading only what you want.