Set up your MIDI environment so that a single device with program change functionality controls all other devices in the chain. This device is termed the MIDI master. All other devices are MIDI slaves.
Set up each element in your MIDI environment to change its performance parameters to those required by a particular song on receiving a particular program change number from the MIDI master. For example, the first song in the set list should be associated with program change one, the second with program change two and so on. This way, you can select songs in the set list by sending the appropriate program change from the master device. All slave devices will change their settings to those required for the selected song.
Create a set list that clearly indicates the program change number for each song. Place it somewhere it can be easily consulted during performance in case you and your band members decide to perform songs out of order. Switch songs on the fly by sending the associated program change to the slave devices.