Hello
You're in luck. I have done exactly this on T5 and am very happy with how it works. It will work in exactly the same way on any PSR model too.
You need the NanoKontrol itself, plus a 'USB MIDI Host'. This sort of thing:
https://www.dv247.com/en_GB/GBP/Miditech-USB-MIDI-HOST/art-SYN0006178-000?campaign=PSM_UK/billiger&ProgramUUID=glvAqJar8tEAAAFoxv.P7Dz2Program the NanoKontrol as you like. For example:
I have the first knob / slider set to MIDI Channel 1, the second to MIDI Channel 2, the third to MIDI Channel 3 and the fourth to MIDI Channel 4. I set the pot to control cutoff, and the slider to control reverb depth.
Then I have the fifth knob / slider also set to MIDI Channel 1 (etc). I set those pots to control resonance, and the sliders to control volume.
I put some red stickers on the second and sixth sliders to make it easy to see which control R1, I can find L/R2/R3 easily from there.
Connect the USB on the NanoKontrol to the USB port on the MIDI Host.
Connect MIDI OUT on the MIDI Host to MIDI IN on the keyboard.
Go to the MIDI settings and make sure that each of L, R1, R2, R3 is set to receive MIDI IN on a different channel. I've set L to Channel 1, R1 to Channel 2, R2 to Channel 3 and R3 to Channel 4. This corresponds to how I programmed the NanoKontrol.