The pictures below show an example of assigning the expression pedal to an effect parameter.  Typically, Wahs and Volume pedals get assigned to the expression pedal but you can assign nearly any parameter to the expression pedal if you so wish.  

I have created a simple patch with just an amp and a digital delay effect as an example.  I will assign the 'mix' parameter to the expression pedal 1.  This will control the echo repeat volume level (click on the Pics to make them larger).

1)  Setup the amp and effect(s)  how you want them. 

2)  Click on the 'Controllers' button to move to the pedal assignment screen.  Click on the 'Model' dropdown and choose the effect that you want to control with the expression pedal.  In this case, the digital delay.

3)  Click on the 'Controller' dropdown and choose the expression pedal that you want to use (usually EXP-1).  In this case:  EXP-1.

4)  Click on the 'Parameter' dropdown and choose the effect parameter that you want to control with the expression pedal.  In this case, the 'Mix'.

5)  You should set minimum (heel down position) and maximum (toe down position) values for the expression pedal using the 'Minimum and 'Maximum' controls.  For example, I would like my echo repeat volume to go from all the way off (Minimum = 0) to slightly louder than the original signal volume (maximum = 65).

Notes:

• If you want to control one of the amp parameters (e.g. drive) the process is the same but select the amp in step 2 above.
• You can assign multiple parameters to the same expression pedal.  Just repeat steps 2-5 for each parameter that you want to control.

More details in the manual here ...

http://l6c.scdn.line6.net/data/l/0a06434dc7704ca4b3b26b924/application/pdf/POD%20HD500%20Advanced%20Guide%20(Rev%20B)%20-%20English.pdf

Pages 3-7 to 3-13.