Yes a lot of people have written about this procedure which is perhaps not as straightforward as it should be. Working with multitimbral sound libraries, you want to be able to quickly change your transmit channel to play the different sounds.
There are a number of ways to change the transmit channel via recalled presets but that is overly convoluted.
The easiest way to change the MIDI transmit channel:Press "Edit," then "Global," then Turn the Category knob until the display says Param: Part 1 Ch Value:01. This tells you the KL is transmitting on channel 1. Turn the lower "Preset" knob until you arrive at a MIDI channel you like. Press down on it. That's it: now you're transmitting on that channel. To make further changes, just leave it in Edit mode, turning the Value knob to the desired channel and pressing the clicker to make the change.
However!
This only changes the output of the keys themselves. You probably have some pedals and/or other gizmos hooked up to your KL. Those by default will continue to transmit on channel 1. I cannot understand for the life of me why that would be the default, but there's an easy fix.
1) Fire up your MIDI Control Center software.
2) Sync with the KL
3) On your computer screen look at the controller display just below the picture of the KL
4) Step on the Sustain pedal. The display should now show the parameters for the sus pedal
5) Where it says "Channel" click the triangle and change it to "Part 1." Now the sus pedal will send on whatever channel the keyboard's transmitting on.
6) Step on the Expression pedal if connected. The display will update to show the Expression control parameters.
7) Once again, change the Expression pedal's "Channel" setting to "Part 1."
If necessary, check the Pitch and Mod wheels Channel setting and change them to "Part 1." The pitch wheel setting is shown under "Global Parameters" on the right side of display. The Mod wheel's settings will become visible by clicking on it in the display picture or moving the physical mod wheel on your KL.
9) Save your settings to a KL memory location. Now you can quit the Control Center Software.
10) When you next turn on your KL, recall the memory # you stored. Then you can change the MIDI channel globally via the procedure as outlined above in the 3rd paragraph.
If you're using the keyboard split feature the procedure would be different, but it doesn't sound like you are.