Neunaber have a video on how to do this for a single effect:
https://www.youtube.com/watch?v=SblI_Fz87kw
It's very similar for multiple effects, just use your ExP to change effect while holding down the footswitch on the effect pedal. You don't have to set all effects at once, you can do one, power down/up and do another later, and it will keep the first one. You can see the full list of configuration options for the footswitch in the advanced guide here:
http://neunaber.net/pages/user-guides
I've built my own ExP, but it's the same with the official ExP controller.