I don't see a way to lock or automatically "hold" the FN key. So, it seems, one does have to manually hold the FN key to make the secondary functions of the Fx keys to work. That is, if you press F12, it will show you source code but if you press FN+F12, it brings up the calculator.
BTW, one thing I failed to mention in my review: The keyboard did not come with any documentation or user guide. There should have been a user guide to explain all the keys.