
Its true you can use the auto chromatic feature, but its going to sound like crap once it spans a few notes. You want to read up on multi sampling. If you really need a full 61 keys a lot of the time, you really should be looking into sound modules which excel at this and leave your sampler open for other things. I find a lot of electronic music only uses a few notes from an instrument, so in that case you should only need to sample those specific notes and sequnce them in.
Program changes are very simple once you learn exactly how they work. I work with live sets that use many programs and I have to be able to have every seq pull up different kits on the fly (sometimes all 4). If you think that is the method for you, just get it down, then you will be able to easily do things you couldn't do before.
Like said above, 4 programs at once maxed out is 256 sounds. The XL can only hold 256 sounds in memory anyway, so you are very unlikely to load up the full 24 programs at once unless each only has a few sounds. If you feel limited with sampling, its time to get a seperate dedicated sampler (you can get an old Akai for very cheap) or upgrade to the MPC4000 and do it all in one.
If you are just working on a single track with lots of sounds there are 2 ways to go about it. 1) custom program for that sequence that you build which has all the elements, drums, keys, bass, whatever. 2) use multiple existing kits, up to 4 or more with program changes. Method 1 will be the easiest to load up, save and work with but will take some time constructing the kit. Method 2 is great if you have a lot of existing kits and want to be able to switch programs on the fly and layer multiple programs, but will be a bit harder to manage the project and is more complex (saving an APS in a new folder helps there).