Just to be sure - you want to record midi output from Elektron into Pro Tools but on separate Midi tracks, right?
I would think that you'd have to assign the various instruments (Kick, Snare etc) to specific Midi channels (from within the Elektron). PT Midi track inputs could then be set and recorded accordingly e.g Midi channel 1 - Kick, Midi channel 2 - Snare etc.
One other thing to consider is that of synchronizing the 003 with the Elektron. I suggest you look at whether Midi Beat Clock can be sent from PT to the Elektron. Otherwise, even when set at the same bpm, you'll get some drift with recorded midi.
If greater control of the audio when mixing is the aim, another (simpler) option might be to solo specific instruments on the Elektron (one at a time) and do a separate audio recording pass for each.
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