Welcome to GamesX. Before I reply, as the moderator I need to mention that GamesX isn't really set up for general game hardware questions like this. We're primarily focused on modification and repair. I'd like to suggest that you take a question of this type to the official Sega forums, or to another general interest website.
Now then. Accessing the memory feature is described on page 25 of the Sega CDX manual. The trick is that the memory function does not appear on the control panel menu unless a game is inserted. Probably the easiest way to get there is to boot the CDX with no game, hit a button to get to the menu, then insert a game so that the CD and Memory buttons are displayed. That way, you can get to the control panel without the game booting first. Hope that helps you out.