Sys/Ex commands can be recorded in a track, as if they were note data. Start the recording on any track, and execute the command for a dump. This will "set up" the keyboard before you start recording notes in your next session. Play back the track into the keyboard and begin your new recording at whatever measure you end up in at the end of the dump.
*** You can also just send individual patch commands in each track of Cakewalk. It may be faster that way.

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Uncle Dave