That would be one way, but even without scenes it's possible to do this in 1 preset. I've set it up on the Ultra using 2 CC switches as Ext Ctrls. Here's a chart showing which custom shift (of 4 total) is active and the state of the 2 LEDs to get that. Top part played, cue-size part is the generated harmony.
http://img507.imageshack.us/img507/7315/hotelcalipg5.png
And the preset, if you want to check it out w/ Axe-Edit in Ultra mode.
http://dl.dropbox.com/u/28651/axefx/Hotel CA end arps.syx
The switches are Externals 3 & 4, controlling both pitch blocks' balance & bypass. Switch #9 on my controller is External 7, which can mute the harmony at the end. Also, the scales labeled 1-4 in the chart ended up being 5-8 in the preset.
Bakerman, this was AWESOME. Using just 1 patch for all the harmonys is fantastic. This method has me thinking about how to incorporate ext controllers and panning for other items. Thanks for the insight.