Cuckoo’s ones are pretty accessible - the Analog Keys sequencer is basically identical to the A4’s.
To record to the sequencer via a midi in, hit the record and play buttons together - red light should flash and the sequencer should start running.
To program steps, hit the record button once - the red light should light up solidly.
For polyphony, go in to the kit menu, poly config and tick additional tracks to turn on additional voices. Will lead to voice stealing, etc., and you also need to set up the voice stealing allocation behaviour, rotate is probably the best option in most cases if you’re playing chords. Tbh, a good read of the manual is probably your best move.
Overbridge is the best synth editor I’ve ever used - and I’ve used quite a few. Worth it for that alone.