Yes, if the arranger parts are to remain separated, you'll have to use SMPTE or something like it. The software that comes with the unit may provide a way to mix all your midi tracks internally, but I can't imagine any way to separate tracks from the arranger unless you send them to different tracks right from the beginning.
I've had success recording a simple, very sparse rhythm track from the arranger and sweetening or adding fluff on subsequent takes. Studio mixing is an art in itself. Try everything that sounds good to you - there are virtually no taboos if it sounds good!