I don´t really see the point of a Setup or scene just to save effect settings, but it would achieve it this way:
1. Create a scene where you are satisfied with all your settings
2. Save it
3. Change just your FX Settings and do a "Save as"
4. Load your base scene and start over again changing FX settings and do a save as
and so on and so on....
As far as I know you can assign the footswitch to change scenes (I think I read something like this somewhere), but I´m not sure at all, since I don´t use the footswitch option.