You cannot store your own styles in the on-board styles section. You save them to the user section or a USB. You have to create your own folders, sub folder set up in the user area or on a USB so you can easily find them. This can look a lot like the way the on board folders are set up, i.e. By genre, or can be any other way you like, by title, type, tempo , whatever. Most people would use a USB because you can store thousands of files on it, download files from this site or others on a computer, move it between keyboards, copy the files onto a back up etc etc.
once you set up a folder/ sub folder system, you then can access them using the buttoms in the same way as you do the on-board styles, except you look under the User or USB tabs.