Ok, so I got it to set, and change channels. The way I got it to work, and I'm not sure if this is the only way, or even the correct way, was to:
(With midi cable connected from "out" of Helix to the "in" of the JVM)
1. Go into to Command Center
2. Highlight the button you wish to set
3. Set "command" to Bank/Prog, "MIDI Ch" 1, "Bank CC00" 1, "Bank CC32" 1, "Program" 1
4. Push midi program on JVM twice "till it flashes"
5. Hold the button down that you just set up on the Helix.
After that, to set up another channel, i went to step #2 to select a new button, then #3 and made all the 1's a 2. For the third channel button changed the 2's to a 3, an so on..
Where I'm now having a problem is, the LED won't stay lit when selected. So there is no way of visually seeing what channel the JVM is on without looking at the amp. I can't for the life of me to get it to work any other way. Hopefully I help some people with the setup, but its still a work in progress.