This article is based on an article written by Laura Remson Mitchell
When recording PSR 740 to CakeWalk, do *not* use a template but set up the PSR 740 to use the Transmit Channel settings. Then you can record both melody and accompaniment simultaneously.

You can change the transmit channel defaults if you wish, but be sure to leave Channel 10 set to the main rhythm.

  In Cakewalk, be sure that all the channels you want to record are armed and set to receive on the appropriate channel (or MIDI Omni, if that works for you.

When using the Transmit Channels instead of the MIDI templates, it didn't seem to matter whether I had Local Control on or off. Whatever I had set up to transmit (and armed to record in Cakewalk) got recorded.