Think carefully about whether you REALLY want the device selection button to run a macro.
If you ever want to control the VCR while watching the DVD without changing the TV's input, you'll have to press the VCR device button. If it's set to run a macro that changes inputs, etc., you'll be cursing that "feature".
I have a Oneforall Cinema7 that has 4 labelled "L" buttons. They are right below the device keys at the top of the remote. They were intended to be keys you could use to LEARN commands from your original remotes on, but it turns out that can also be programmed with macro sequences. I programmed my device selection macros into these buttons, in order of priority. I'm most commonly watching DSS channels, so L1 selects the DSS receiver and all the appropriate inpit setting on my A/V receiver and TV. I watch OTA channels second most frequently, so I have that macro on SETUP+L1. To WATCH a DVD I press L2. To WATCH a Video tape I press SETUP+L2. (my L3 and L4 buttons are used for discrete commands and aliased in my macros).
At any time I can jump between devices by simply pressing that device's device key. It prevents me from accidently switching the source when I only need to make adjustments on another device.
