well, all you have to do is :
1 - choose a performance which mode is SINGLE.
2 - turn LOCAL OFF ( system / midi ) on the XP80.
3 - turn Thru = AUTO on Cakewalk
4 - enable 16 tracks ( midi chanels 1 thru 16 ) on Cakewalk....

now you should have all the patches from the parts 1 thru 16 in the XP 80 sounding in the corresponding tracks in Cakewalk....

as simple as that...hope this help u !!!