Others can probably give better info, but here is what i know.

You can save on MX, voices, FX, and performances, basicaly everthing in MX.
Insert FX are tied to the voices, so to save user insert FX you have to save them with the voice.
You can put pen drive in a PC and put midi files, and 16 bit cd specked wave files on pen drive that can play back on MX.

To save a performance press STORE once,ENTER once, INC/YES once.
To name a performance, press EDIT ONCE, ENTER twice, STORE once, ENTER once, INC/YES once.