People usually label that stuff with the pitch they recorded at or with arrows going up or down. You have to put each pitch in a separate folder within the main voicebank folder, & then when you open the bank in UTAU, you have to configure the prefix map (seen when going to Tools -> Edit prefix map) & then for each of the corresponding pitches on the piano roll you put whatever label you used for each pitch, whether you used the pitch name or arrows. This tells UTAU when to switch from one pitch to another in one UST depending on where the note is, without having to hand edit which notes have which pitch.
....That was a botched explanation. I think it'd make more sense if you downloaded a multipitch bank like Ritsu's Kire & looking at the folder setup & prefix map.
