How Do I save a midi Instrument assignment?

I am using a Kurzweil PC3X with Cubase 6.5 on Windows 7 x64.

I have set up the PC3X within the Midi Device Manager and all works well, except when switching to a different song, the midi programs (instruments) on the PC3X do not change to match those that were previously selected for the newly loaded song.

I think the instruments should change once I select the play button within Cubase.

Can someone tell me the steps necessary for having Cubase remember and automatically select instruments on a midi keyboard?

Thanks for any help regarding the above.