Same question here. By default, when I play a dual-audio mkv, I get English audio along with English subtitles, which obviously isn't right. The first thing that occurred to me was to hit the triangle button and click through the options like I would playing a DVD, but they don't give any subtitle options and the only audio options I get is which speaker I want it out of. Any tips?
FAKE EDIT: I was able to get the non-pleb experience I wanted by going into audio settings, putting jpn ahead of english in the audio language priority bar, and hitting save. I'm about satisfied with that, but if there's any way to switch on the fly, it would be good to know.