Bert,
I have been through this same routine as have many others. I believe that the procedure that you described is the only one at this time that will allow you to group the custom styles to your liking.
I am in the process of doing exactly what you describe. It is slow, very time consuming, and almost idiotic to have to go through such an archaic procedure on an instrument that is as technically advanced as the KN7000.
The Custom file will hold approximately 200 individual .CST files, but cannot be grouped.
Another SD characteristic that is annoying, is that if you have 200 .CST files on the card, you have to scroll through them one by one using the up-down buttons in order to access the one that you want. This is bad enough, but the Tempo wheel is inactive, so you have push the button, wait, push the button, wait, ETC.
I truly hope that Technics takes note of the unhappiness in this area of operation of the instrument.
Keep pushing those buttons! You'll eventually get it set up the way you want it.
Walt