Chrisallen mentioned the key steps. I'm assuming you want to control some parameter in each block, not just activate & deactivate the block (which you could still optionally do with auto-engage or a switch) by moving the pedal to max/min.
At the I/O: CTRL page on the Axe-FX, scroll down to the EXT CTRL items. Each pedal needs to be matched to an EXT CTRL.
For example, at defaults it should say EXT CTRLs 1-4 are CC#s 16, 17, 18, 19 (the numbers in the right column that you can edit if you want). On the MFC if you set pedals 1, 2, 3, 4 to CC#s 16, 17, 18, 19 respectively, this will cause EXT CTRLs 1-4 to respond to the pedals. Pedal 1 = EXT CTRL 1, etc.
At any modifier screen the EXT CTRL # you choose would determine which pedal controls that parameter.
For pedals with a switch, you can set the switch up as another EXT CTRL, which could switch any effect or do other things per preset. If you always wanted the switch to toggle the same effect you could instead set it to that block's I/O: CTRL page bypass item.