Hey Starbuck,
I have not figured out how to do what you want to do, but I, too, wanted to do that. So, here is what I did to work around it.
I basically use one mode (or device) to control two devices - in my case, TV and satellite dish. Since I use more of the keys from the Sat dish, I programmed the lower right device for my satellite receiver remote. Then I reprogrammed a bunch of the buttons, for example, the number buttons using the learning function and the remote for the TV. Up on the top section where the screen is, I programmed some macros which will switch between the TV input (and TV audio on my receiver) and the HDMI input (and the DTV/CBL audio on my receiver).
That is the basic idea to what I programmed, although I have programmed a bunch of other stuff too, but you should get the idea.
The main thing here for you is that you do not need to switch between devices if you are in this, kind of, hybrid mode for your device.