I have Sonar 3 producer ed. I don't know if it's the same or not, but I do it like this: On Sonar set midi sync to "on", then press record. As soon as you start the Sd1, the recording will begin. You may have to adjust your midi channels input on sonar. I, so far, have only figured out how to get the whole stlye (every channel) into one track. I then have to copy the track numerous times, and delete all channels except for one in each track.
Hope this helps.