IŽd say that External Clock ON would do the trick. IŽd also set Local to OFF, since Local ON will make the keyboard play the notes twice (doubled, actually). This happens because the note sounds as you play, and then again when Cakewalk sends it back. Of course this will not happen when you listen to the result, but it is annoying (to me, at least).
Just remember to turn Local ON again afterwards, or you will not get any sound when you close Cakewalk.
I hope this helps. I donŽt have a keyboard like yours (mine is a CS2x), but I do have CWPA9.