You generally only need to mess with the bank voltage select if you are driving more LEDs (or bigger LEDS with more current draw) than what a bus powered usb device to deliver.
For a bus powered LED wiz, that means about 450ma. So if each LED you connect draws 20ma, that'd be 32x20, or 640ma, which means you'd overdrive the usb power and likely cause the LEDWiz to stop working if you powered all LEDS on it simultaneously.
In that case, you'd connect your external 5v supply to the Bank select, then jumper to the other 3 bank selects, Connect GND from PS to GND on LEDWiz and NOT connect the 5v on the LED wiz to anything.
But check the LEDWiz instructs for more specifics. It's possible some of the details have changed since I got mine...