This is in the manual, but I had to dig it up the other day to figure this out. So here it is for the next time i forget.
1. While holding down the [CANCEL/SHIFT] button, move the pitch bend/modulation lever all the way to the far left or right.
The OCTAVE [DOWN/-] and [UP/+] buttons will blink.
2. While holding down the OCTAVE [DOWN/-] button, press a key (C2–C4).
This specifies the amount of pitch change that will occur when you move the lever to the left.
C2 Narrow – Range of change – Wide C4
3. While holding down the OCTAVE [UP/+] button, press a key (C2–C4).
This specifies the amount of pitch change that will occur when you move the lever to the right.
4. When you’ve finished making settings, press the [CANCEL/SHIFT] button.