I haven't got my MicroKorg to hand to check, but I think you just need to press the current 'Program Number' to activate 'Performance Edit' mode, which lets you twiddle the five knobs to edit Cutoff etc.
This goes for any of the settings on the Edit Select knobs, I think.
By default, settings aren't saved unless you 'write' them (so you lose your edits if you select a different program number, for example). Note that there is an 'Original Value LED' that shows the default value for a setting, should you want an edited program to get back to how it was originally.
Source: MicroKorg Manual