claudiu,
no need to do it so complicated for yourself.

try to consider midi setup as mathematicaly as you can. after that you'll get to the music part too!
but more than anything, midi is about technically setting things right.
but with sonar is particulary easy to do that, because you have 16 channels available for each track, for midi in and for midi out. this way you can record all 16 track (accompaniment and others) at once, from your keyboard, for instance.

anyway... if you read carefully the help section of you sonar, it would make things easier.
and here it is the best site IMO for clearing the things up.
http://www.tweakheadz.com/guide.htm