The easiest way it to make "style folders" similar in fashion to the "mix folders" for DDR based simulators DWI or Stepmania.

To set them up, open your bmdx.ini and look for

[search]
1=......anything could be here.

You want to setup "jukeboxes" or "style folders" to easily sort the songs.

Make the section below [search] look like something similar to below, but with the file paths to your actual folders.

1=D:\BemaniaDX\Songs\1st Style\
2=D:\BemaniaDX\Songs\2nd Style\
3=D:\BemaniaDX\Songs\3rd Style\
4=D:\BemaniaDX\Songs\4th Style\
5=D:\BemaniaDX\Songs\5th Style\
6=D:\BemaniaDX\Songs\6th Style\
7=D:\BemaniaDX\Songs\7th Style\

If you want a special name for each folder, as a line like "1name=IIDX 1st Style" below the 1=D... line.

To change jukeboxes while on the song select menu, press F8 and highlight the folder you want and press Enter. Press the Page Up/Page Down buttons to cycle through each jukeboxe/style.