The basic concepts for setting up splits and/or layers are the same regardless of the DAW, although the specific details may vary a bit from DAW to DAW.
The basic idea is to set up multiple MIDI tracks, with each one having the same input but different outputs.
Then you filter the events based on note range-- if you're setting up splits-- and apply any other settings as desired, such as transposing the notes up or down a certain number of semitones or octaves.
You can usually set the Bank Select and Program Change values that you want to apply to each track as well.
As I said, the specifics can vary, but the MIDI filter settings are often found in a "MIDI effects" function that you add to the track, not unlike the way you would add reverb, chorus, or other audio effects to an audio track.
For example, you could set up something like the following:
Track 1: MIDI track
MIDI In: CDP-220R, Channel 1
MIDI Out: CDP-220R, Channel 1
(Note: On a multitimbral keyboard like the CDP-220R, the incoming channels are usually kept separate from the outgoing ones, such that there shouldn't be any feedback. But on some keyboards the incoming channels might get routed back to the outgoing ones, in which case you wouldn't want the DAW to echo the incoming MIDI back on the same channel, otherwise a feedback loop could occur-- you play a note and the keyboard sends it to the DAW on channel 1, then the DAW sends it back to the keyboard again on channel 1, then the keyboard sends it back to the DAW again on channel 1, etc.)
Bank Select: MSB = 0, LSB = 0
Program Change: 0
MIDI Filter - Minimum Note: 0
MIDI Filter - Maximum Note: 127
MIDI Filter - Transpose: +0 semitones
Track 2: MIDI track
MIDI In: CDP-220R, Channel 1
MIDI Out: CDP-220R, Channel 2
Bank Select: MSB = 0, LSB = 0
Program Change: 1
MIDI Filter - Minimum Note: 0
MIDI Filter - Maximum Note: 63
MIDI Filter - Transpose: +12 semitones
Track 3: MIDI track
MIDI In: CDP-220R, Channel 1
MIDI Out: CDP-220R, Channel 2
Bank Select: MSB = 0, LSB = 0
Program Change: 1
MIDI Filter - Minimum Note: 0
MIDI Filter - Maximum Note: 63
MIDI Filter - Transpose: +19 semitones
(Note: This would cause the notes going back on channel 2-- which are shifted up an octave on track 2-- to be duplicated as perfect fifths on track 3, or up an octave plus a fifth. So if you were to play Note 0, it would be sent back as Note 12 plus Note 19, both on channel 2. If you do send multiple tracks to the same outgoing channel like this, be sure they're all set to the same Bank/Program as each other.)
Track 4: MIDI track
MIDI In: CDP-220R, Channel 1
MIDI Out: CDP-220R, Channel 3
Bank Select: MSB = 0, LSB = 0
Program Change: 2
MIDI Filter - Minimum Note: 64
MIDI Filter - Maximum Note: 127
MIDI Filter - Transpose: -12 semitones
In this example, the keyboard is split into two halves using channels 2 and 3, but both halves are also layered with a voice that spans the entire keyboard on channel 1.
You can get as creative and crazy as your DAW's available functions and maximum number of MIDI tracks, along with your keyboard's maximum polyphony, will allow.
Of course, you're normally limited to a maximum of 16 channels that you can work with-- but some keyboards or sound modules have two or more sets of MIDI ports, in which case you can work with 16 channels per port.
And if you've got your computer's (or external sound card's) audio going to your amps and speakers, you can also layer and split your arsenal of virtual instrument software in combination with the voices on your CDP-220R.