I have successfully used an expression pedal with the PX-5S. My configuration was this:
A Nektar expression pedal plugged into…
An AIRSTEP using one of the expression pedal jacks (it has two of these jacks, by the way), connected by 5-pin DIN MIDI cable to…
The PX-5S MIDI IN jack
Instead of an AIRSTEP, I would recommend the MIDI Solutions expression pedal device for simplicity and reliability.
It’s not too difficult to find the CC of what you want to control. It’s the same as what you would pick if you wanted to control the same parameter with a knob or slider/fader.
I used the configuration above to get a controlled wah wah pedal effect, for master volume control, and for playing organ patches.
Editorial Note: The expression pedal is an essential element of playing jazz and blues organ; take it from someone who played real organs for a large part of his life. Unfortunately, the PX-5S is not a great keyboard for organ, from the sound engine to the hammer action keys. But it’s not really intended for that, so that’s not a real criticism of the keyboard.
For completeness: I have also connected the AIRSTEP to my computer (MacBook) via its built-in Bluetooth, and connected the computer to the PX-5S via a USB cable connected to a USB hub. While this got the CC messages to the keyboard, the Mac seemed to buffer then flush the data. That is, the messages would not flow smoothly, and instead seemed to go in batches. Obviously, this did not result in beautiful music. Stick with a device that can connect directly to the 5-pin MIDI in jack. I’ve done a lot of testing, and the PX-5S’s MIDI responsiveness is noticeably better when using standard MIDI vs. USB MIDI.