Thanks Diki, but unlike the Korg, the Roland has no "filter" on the Music Finder.
I had thought of that workaround, by simply naming a "genre" or "artist" set 1, set 2 etc but it still lists EVERYTHING in the Music Finder. So its probably the slowest option of the lot.
I will investigate further the UPS path you mentioned as I do use a PC at gigs.
I use a combination of MP3(my own) SMF, styles and solo keyboard, so I DO need an efficient way of arranging sets, as sometimes I may have all 4 methods in 1 set.