I routinely load up multiple instruments into a single instance of Kontakt, and when loading them, Kontakt will - by default - auto-increment the midi channel number assigned to each instrument, starting with 1, then 2, 3, 4, etc.
I only load maybe 5 instruments into a single Kontakt instance, because the displayed choices when setting an associated audio track's input shows up kind of messed up after a certain number of Kontakt outputs are displayed. By my keeping the number of instruments in a given instance to a max of 4 or 5, that problem does not occur.
As far as PLAYING a live performance, I would suggest using a performance-built VST Host, such as Brainspawn's Forte, or Cantabile, as they are specifically designed for live performance, and have MANY optimizations for that, whereas with Sonar, you have all of the software for handling the recording process going along for the ride, but you wouldn't really use any of that functionality - it's just then working REALLY hard to allow you to play live. (Sonar is not really built for that kind of usage).
For example, with Forte, you load up 15-20 VST synths, then you can create any number of presets, combining any of the loaded synths you want - or don't include others, and have each synth set to whatever of its own presets you want - and save off each of those layered combinations (with anywhere from 1 synth to all of them, in each saved preset), ready for INSTANT preset switching. This includes SAMPLE-BASED synths, like Kontakt. For a sample-based instrument, you can tell Forte to NOT reload samples for that instrument on any preset change, so that if you have a nice 2 GB piano sample loaded into Kontakt, when you switch away from a piano preset and then later switch back to use the piano preset again - those samples are still loaded, so the preset change is INSTANT.
Further, for the synths NOT involved in a given preset, which would have them muted, it drops their CPU and memory overhead WAY down, until they are needed for some other preset. That makes it quite efficient, and keeps the strain of having a bunch of synths loaded into what is really one giant synth rack.
Anyways - check it out. Forte is what I use for live performance, though I do have Cantabile Lite, which is free. I don't know the web site for Cantabile, but Forte is at:
www.brainspawn.com They give you a trial version you can play around with, if desired.
So back to Sonar and Kontakt, so if you have a Kontakt instance loaded with Piano, Strings, Rhodes, and Bass, on midi channels 1, 2, 3, and 4, you would need to also set the Midi Output Channel on the 4 midi tracks you would have inserted, to the corresponding midi channel for that instrument, so midi tracks Piano, Strings, Rhodes, and Bass would need their midi output channels ALSO set to midi channels 1, 2, 3, and 4 to match the channel set for each instrument as loaded into that Kontakt instance.
FURTHER, Kontakt will default the audio OUTPUT for ALL of those instruments, to the main outputs, 1 and 2. That won't work well since all of the sounds would be jumbled together into 1 set of stereo outputs. Once I get a given Kontakt instance loaded up with instruments, I then make sure the Kontakt instance has the Output Section displayed, then down in the output section, there is a drop-down menu with some batch functions, and I click on the batch function that tells Kontakt to erase whatever is in the current output section, and to then create a separate stereo output channel for each loaded instrument. THIS is how I am then able to set the Sonar audio track INPUTS to the correct audio output from the Kontakt instance, for a given instrument. Each instrument will present a mono left, mono right, and a stereo audio output in the list that drops down when you are setting the audio track INPUTS for the audio tracks I would have inserted for playing the sounds for each of the instruments from the Kontakt instance.
SO, it is the combination of an instrument in a Kontakt instance, being assigned to its OWN audio outputs and its own midi channel in that Kontakt instance, AND having a midi track having its Midi Output Channel set to the correct midi channel for that instrument as set in the Kontakt instance, AND having an audio track's INPUT set to pick up the correct audio OUTPUT for that instrument, from the Kontakt instance, and lastly, having the Midi Echo On button lit for that midi track.
If ALL of the above are set correctly, then as you bring a desired midi track into focus, it should automatically set Midi Echo On for that track to ON, and then when you trigger notes on your midi controller, the proper midi channel for that instrument (as set in the midi track Midi Output Channel), will send the correct midi channel to the Kontakt instance, resulting in the proper instrument producing audio output, which when will get routed through that instrument's separate audio output from the Kontakt instance's output section, which then will get properly picked up by the associated audio track's INPUT assignment, which should then be able to be heard.
Switching focus to a different midi track would then do all of the above for THAT instrument, and so on.
I hope that helps,
Bob Bone