ACT only saved with a project and not 'overall'?

I've been trying to figure out for weeks now how to get my M Audio Oxygen 61 3rd Gen working with Sonar, but I still don't understand how it all works... For instance the surface controls did work once, but when I start a new project everything is gone and my buttons do nothing? Do you have to save those settings in a template for Sonar...? I've got 9 sliders, 8 rotary knobs which sometimes function but usually I don't dare to use them because they may change things I don't want (I've been fooling around with Kontakt for hours because I had no sound before I discovered that setting up with ACT had turned the volume down in Sonar itself on all tracks). And I've got 9 buttons that refuse to work at all... Feels like I bought the keyboard for nothing: waste of money. The only thing that works as I was hoping is the modwheel. That's one very expensive modwheel...
 
Anyway... shouldn't ACT and surface control be working whatever project you have opened or do you have to reassign every bleedin' button everytime you start Sonar?

Hm, then I must be doing something wrong... Should I save something on my Oxygen too...? I thought I only had to tell Sonar what knob etc. to use for what and that's it. But it doesn't work as easy as advertised...