It can be done, take a look at p86 in the manual. You should be able to load a SMF from there into the DGX.
If you have not connected an have a functioning USB flash drive you are best formatting one of the compatible flash drives in the DGX, the compatible list is available as a deperate download.
You may be able to load files via a computer connnection and Yamaha’s Musicsoft app, which I know exists but that is the limit of my knowledge on its functionality.