Now I haven't used an N5 myself, but knowing Korgs typical architecture I'd venture to say you probably need to switch to a combi setup (patch per channel), as you are probably in performance mode (ie. 1 sound) In combi mode you can assign a patch to each channel, or let Cakewalk set it for you as you are doing now. So you are probably just a button press away from what you want to do.