Hey Reese, yes I've been using the X keys for live gigs for over 12 years now. The first time I switched to using a laptop for live playback of my backing tracks I hated having to let go of my guitar to toggle the keys.
I used to have a footswitch system for my Atari midi set up. It used the Joystick port to go up and down the set list and stop /start and most important the PANIC button to kill stuck midi notes.
I soon found out about the X keys and ordered it and it's been with me at 100's of gigs.
As I said I also tried a cheapo footswitch which works but I don't think they are dependable enough to recommend for live use. The X keys is the best of them all by far and the company has excellent support and good software.
A Macro is just another word for keystrokes.
The software works by choosing the pedal you wish to assign and set it in record mode and hit the key. This saves that keystroke.. or combination of keystrokes to the device.
I use Win Amp for playback so I have it set to correspond to start/ stop and playlist advance. I wish it had 4 pedals as my other wish would be playlist back. I have to do that with my finger. But it's pretty rare as I stick to my playlist. If I skip a song I will move it into a later set on my break. That's what I love about using Win Amp. sooooo easy to make and change playlists. And save them for the next gig.
Someday I might giver Sonar a go just to have the MIDI changing my effects. But I only need the stereo wave file for my backing tracks, I see no advantage to having to "mix" multi track at gigs. That's sounds like a pita.