I would use the 4 Cable Method (4CM) as described in the HX FX manual, in the ’Hooking It All Up’ section. This allows you to use some of your HX FX models before the CX in the signal path (e.g. OD, Comp), and some after the CX (e.g. MOD, Reverb, Delay). On the CX, set the Return switch to the Power Amp setting. You can use the HX FX models in conjunction with the CX FX models as well if you wish.
Give it a read and experiment. It can be confusing at first so don’t hesitate to come back with questions.