Quantum instruments represent the most general type of quantum measurement, as they incorporate processes with both classical and quantum outputs. In many scenarios, it may be desirable to have some "on-demand" device that is capable of implementing one of many possible instruments whenever the experimenter desires. We refer to such objects as programmable instrument devices (PIDs), and this paper studies PIDs from a resource-theoretic perspective. A physically important class of PIDs are those that do not require quantum memory to implement, and these are naturally "free" in this resource theory. The traditional notion of measurement incompatibility emerges as a resource in this theory since any PID controlling an incompatible family of instruments requires quantum memory to build. We identify an incompatibility partial ordering of PIDs based on whether one can be transformed into another using processes that do not require additional quantum memory. Necessary and sufficient conditions are derived for when such transformations are possible based on how well certain guessing games can be played using a given PID. Ultimately our results provide an operational characterization of incompatibility, and they offer tests for incompatibility in the most general types of quantum instruments. Since channel steerability is equivalent to PID incompatibility, this work can also be seen as a resource theory of channel steering.