Not sure if different tuners cause things to function differently, etc., but here is my experience...
Simply hold down the preset button for a few seconds while tuned in to the station you want to enter, and it will be stored . As you know, you have six presets in three bands. No, neither the station name or number will appear on the button, it will simply continue to say "preset 1, preset 2," etc., which does suck.
But you live with it. I know what the presets are by memory, so it works out okay.
The directional knob seems to work like this: up and down moves through the currently selected bank of presets (though up = down and down = up, just to ensure the interface is as screwy as possible). Moving right and left will advance the station number by one station either way.
That has worked out okay for me. I tend to use just one of the three preset bands, but pick my presets strategically... one preset will plant me in amongst the jazz channels, one in the indie rock channels, one in the classic rock channels, one in the news channels, etc. I can scroll up and down between the presets and then jog over to similarly-themed stations with a left-right flick of the directional knob.
Good luck with it!
8)