You have done the hard part setting up Direct which is hopefully on your USB memory stick.
First thing to do is to create a Backup file and then a Save All file, just in case you want to return to the setup, save these to the USB memory stick.
To essentially move a Style from a User location to Direct:-
Tap on the Style to select it
From the top right of the screen tap on the Down Arrow
Select .... Copy and Paste
Then tap on the Direct tab
Tap on the Direct location where you want the Style to be located and the Style will appear.
Press Exit and play the Style fully using all Intros, Variations and endings
If all is OK you can delete to Style in the User bank.
Go back to the User tab and tap on the Style you just copied and pasted
Tap on the Down Arrow and select Delete, tap to confirm when Pop Up window shows.
Repeat this for all the User Styles you want to move to Direct.
I am sat at my 700 going through this procedure so know it works word for word.
Once you have finished perform another Save All, saving to your USB stick.
TIP
I have a notebook which I use to record what I have done, the names of the files created etc so I can refer to what I have done and when I did it.