From page 37 in the MD manual:
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PATTERN CHAINING
You can use pattern chaining to cue up patterns to be played after each other in a loop, like
a simple live sequencer for patterns. In PATTERN mode, hold a [BANK] button and then
press the [TRIG] keys corresponding to the patterns you want to chain. The patterns will be
chained in the order you select them. It is only possible to chain patterns from one bank,
and each pattern may only be chained once. Chaining is indicated by a double arrow
between the current and the next pattern.
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I use this function to do exactly what you are wanting to do, Jsrockit. Enjoy!
- Nick
EDIT: Monofever beat me to it