That's all really good advice.
The only thing I'll add is that there is some important differences between using Song Mode and Pattern Mode depending on your use case. Song Mode has more MIDI channels (1-16... or was it 1-24 or 32??? I can't recall right now), half of which are reserved for accompaniment. There are special save features for accompaniments as they can be saved and exported/imported as .MID files using the SM Card. There is also the ability to shift the tempo over the course of the song, and bring in patterns and transpose them as the song progresses.
Pattern Mode is probably easier to work in and is intended for building patterns that will later be laid out in Song Mode (however I tend to use it exclusively for my own songs and I'm exporting everything to a DAW in most cases). Pattern Mode has an additional MIDI setting which is important... The PATT OUT CH is used to remap the pattern's output MIDI channels to be 1~8, or 9~16. Another special thing to note about Pattern Mode is that the MIDI channels are set to non-standard channels beginning at 17 and ending on 24. This is important as assigning certain parameters require you to specify a MIDI channel. You will not use the standard 1-16 channels, you will use 17-24, 17 being the top-most track, 24 being the bottom-most track.
Here's an image of what the MIDI settings menu looks like. MIDI SYNC sets whether you want to use and internal or external clock to set the tempo. MIDI CONTROL shoulc be turned to In/Out (assuming you want control to go both ways). XG PARM OUT should be On (if you want XG to be sent out through MIDI).

Easiest way to check if MIDI CC is being recorded into the device would be to go to the EDIT MODE menu and look if anything was recorded into there on the specified track.
Another resource you could use if you have USB to MIDI is my MIDI LFO webtool, which allows you to connect your device and send MIDI CC to it: I posted a video showing how it works on the Facebook page: ?
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