That's the way I'm doing it too. But there must be an easier way, so I'll be watching your post with interest.
I find the Owner Manual which is supplied with the PSR-SX700 / SX900 extremely frustrating to use, where the file systems are concerned, in that they are very sketchy about giving clear, easy to follow information about performing certain what should be pretty basic operations.
Too often the user is faced with a "Do you wish to overwrite this folder" (which is a certain nuclear option resulting in the complete loss of the source folder itself) Twice now I have used this wretched option and then the folders can no longer be found at all. They have quite literally gone altogether....or it refers to buttons that don't even exist. For example it shows Press on the file button....when it actually means press on the folder button. Very Confusing to new users.
I have to keep going back to my pc to resurrect files and folders that have simply disappeared from the keyboard altogether. Without backups, I'd have been stuffed.
I've had plenty of Yamaha's including my recently sold Tyros, and this manual is probably the worst. The Tyros manuals are far better, far more detailed, and as these instruments are supposedly far more up to date, you'd have hoped the manuals would have been far more comprehensive then they are.
I live in hope that somebody at Yamaha might just re-write it so that it can actually be understood.
I'm actually reaching a point where I wish I had kept my Tyros.