First select the Style with the four keyboard sets you want to be essentially your favourite. Then press and hold the My Settings button, to load this setup at anytime just press the button.
To answer your question, you cannot group assign the four keyboard sets together it has to be one one by one.
What I used to do is if I liked a Style but not the Keyboard Sets with it I would save a copy of the Style to a high user bank location or save it to Direct on the USB memory stick, then I would change each Kbd Set and Pad as I wanted and Save again.
If you use Songbook you can do all this within Songbook Editor.
Of course I would create a Backup and a Save All file prior to and again after creating the system changes.