Workaround using only the TR
I make a seq (works with combi aswell) with all the sounds I want to use (on different timbers), assigned to different parts of the keybed. Ex. I have a piano at the lower range of the keybed and a flute or whatever at the higher range (and maybe even some other sounds in the middle). So when changing sound I just change where I play on the keybed istead of loading a new seq. That way I don't get any cuts.
If I need to use a large part of the keybed for some sounds, I sometimes assign other sounds on keys ranging "outside" the keybed. Then when I want to change to another sound I just transfer the keybed an octave up or down by having it assign to the SW buttons. (tip.: you could assign a pedal to one of the SW buttons, so that you could change octave with a pedal, that way having your hands free.)
Workaround using a midi keyboard
I make a similar seq as before, combining all the sounds I need for a song on different timbres. But instead of assigning different sounds to different keys, I assign it to different midi channels. I could have some pad sound assigned to global channel, or channel 1 or whatever I want. And then have another sound, maybe some organs, assigned to a different channel, lets say channel 4. Then I hook up a midi keyboard to my korg and set it to send on ch4.
Now I can play pads on my TR, and changing to organs by just switching to the midi keyboard. All the sounds are comming from my TR, and no program changes are made. Wich means, no cutting.
Limitations
The limitations of using these metods are in the effects. You can only have 1 IFX and 2 MFX on each seq or combi. You can assign the IFX to a spesific sound, but then you can't assign a different IFX to any of the other sounds.
Well, I hope some can take advantages of this since it seems alot of people strugle with it. But don't get to cought up. Sometimes I still just change seq in the middle of a song and cutting my sound. With the right timing nobody even notice it but me

(my first post by the way, so be gentle :p)