You can use the same song. Its just about doing it, not where to do it.
If you've made a pattern with drums, then duplicate it to change the drums, then duplicate to change it even more, then duplicate it to add bass, then duplicate it to add melody, just like that.
If you then play it, you'll notice how it sounds which is a good way to learn from your experience.
As for samples, its not required to sample your samples yet. You can rip them of another song, as this song will be your experimented song. If you feel unhappy about that, you can also use the simple general midi sounds from gm.sfk on the left.
But to answer your question, if you really want, the PSR-510 has some great sounds, and eventually you'd might want to use them. Do note that drums are far more easier to rip than the rest of the sounds, as in drums the pitch doesn't change, which means that the sound itself doesn't change either. In the other sounds, especially by yamaha's XG bank, there are effects in it, so if you want it to sound the same, you'll have to sound EACH note from that instrument. Doing half of the notes will already sound different, but probably acceptable. I can't tell you how many notes you can leave out, but it will be a teadious task. You could also hook up your keyboard over midi, and use a midi-out VSTi to send notes to your keyboard. This way you'll have your keyboard play it, but no need to sample it. Only downside is, that modplug currently doesn't offer any way to reach the XG sounds, only the GM sounds, which are still very good on the PSR-510.