Can anyone help me setup using a midi keyboard as an input please?

Which variation and version of Sonar do you have.  Can it be assumed that Preferences | MIDI | Devices has your USB to MIDI device listed and ticked.

Make sure the MIDI out of the Casio is connected the MIDI in of the USB to MIDI converter.

Also can you make sure you know which MIDI channel your Casio is transmitting on. Mind you, this may not be necessary if Sonar is set to Omni in (meaning it will trigger no matter what MIDI channel the Casio is set to)

Can you insert a Simple instrument track (Menu | insert | soft Synth). Also, once you've done this, open up the inspector and look in the MIDI inspector for this track and  check the In / out. Make sure the input is set to your MIDI to USB interface.

Note: I am also using  USB to MIDI converter (Roland Um1 mark II) - but I use it to transmit from Sonar Platinum to an external Sound Module that receives on actual 5 pin MIDI ports.

Hope that gives you a step in the right direction.

Oldest trick in the book. Most of us old timers always will ask that because 90% of the time midi newbies take the port markings verbatim. 
But then I've had the same issue with keyboard players who when handed a patch cable plug it into the input thinking along the same lines.