seems like you need to take a look at your midi in/out settings for Chanel transmit and receive have you any shared midi chanels? like all right sounds from chanel 1 (masterkeyboad)
please be more spesific about your conection do you use the serial cabel or midi cables ? what assignment you have

any way its litle mess to try record in sonar on the fly becase playback normaly uses GM sounds and if you have not sysex or effect settings may sound strange
the best way to do this is to play what ever you like in SD1 an record in SMF (just press record) then copy the file from the Sd1 HD to your computer and open with sonar
"you have all settings right"