If this was in the manual, I missed it, but thought it deserved pointing out anyways
Turn ARP to HOLD
Press and hold a key and you'll hear a sound
Keep holding the key and turn the ARP to OFF, (the sound will stop), then back to HOLD, (still no sound)
You have just entered "Sticky Hold Mode"
Now any sequence that you play will just keep adding notes into the arpeggiator pattern up to a max of 16. This has the advantage over the manual's method (hold the first note and play your sequence), as it give you the freedom to work without hold the first note. You can add more instances of your first "hold" note as well without doing a hold/play/hold dance on the keys. This method works better for me, so maybe you'll like it, too.
Hope it helps!