Basic error on my part - can someone advise?

Cakewalk UA25 interface

I qualify for totally stupid!

Here's some basic concept stuff that appears to be relevant to your experience.
Midi is data, not sound.  You are recording a description of your playing into Sonar, and sending it from Sonar back to your Yamaha.   Congratulations!  There are many posts here from folks who weren't getting that far...

If you want to hear this description as sound on your computer audio output, you need to insert a sound generator (soft synth) into your Sonar project.  Then select that for the output of the midi track, rather than the midi I/O that your description implies is currently set there.

The voice that the description plays in is controlled in the bank/patch portion of the output selection,  When set to the soft synth, you will see the detailed descriptions available for that plugin.   If you would prefer to have the description sound appropriate voices on your keyboard (output still set as midi and using the keyboard as a 'sound module') you need to have an instrument definition file loaded into Sonar that describes the bank/patch definitions for your keyboard.  There are generic General Midi and Yamaha XG definitions included in most (all?) versions that you can experiment with.

A general comment - You can learn a LOT by using the search function on this board or in the Google universe.  Many times people will not respond to your questions if it seems you have not tried to help yourself by doing so.

Good luck and have fun!

Hi,
 Why not tell us a bit about your system?

 For many of us, the use of a hardware synth or sound module (the one built in your keyboard) has become unnecessary as the use of virtual synthesis has replaced the hardware.

 You may consider a move into that sort of work flow... meaning that you might elect to use your keyboard as a controller (the keys) and not as a sound module.

 In any event, at the moment you seem to need to learn about MIDI tracking and audio recording.

 Is your keyboard multi timbral? Does it accept multiple MIDI channels?

 If you want to have multiple instruments sound from it at once then it has to have those features. If it does, you simply program your SONAR MIDI tracks (in each tracks output drop down menu) to go to the different MIDI channels. You select appropriate banks and patches in the same area.

 If you intend to collect the sound within SONAR so as to publish a audio file on CD or mp3 then you need to convert the MIDI performances into audio files. You'll need to learn to route the sound from your keyboards sound module outputs into your computer audio inputs so that you can record them as sound in SONAR. Most of us would do that track by track... but you can do a mix or sub groups as well. Anything goes. You just ave to decide how you will do it with your system.

 Soft synths make this a lot easier... if you have a recent edition of SONAR and a fast computer.

 This has been a very a crude overview... let us know what made sense and what stuff seemed too remedial or basic for where you are... and then someone can help you with specifics.

 best regards,
mike