Jesse G
Again, Thanks everyone for the advice, but I am keeping things the way in which it is currently working for me now. I am not going to think any longer about using the TR as an External Synth. I've got enough Soft Synths in Sonar and a few installed third party ones as well.
Peace,
Jesse G 
I really cannot see what is so complicated - and it's really worth the trouble to get all recorded as midi.
Your usb connection provide midi in and out.
A track in Sonar select the midi out from korg as midi in to a track - and arm echo monitoring on.
And select the korg midi in as output for midi from track.
Now midi runs from korg to a track and back to korg - meaning sounds will trigger over midi and locally in korg.
Not to get double voices sounding each keypress - you set local off on korg(see midi settings in korg) - and your midi through Sonar do triggering of sounds in Korg.
So far, listen on phones on korg unit and you should get sounds each keypress.
The only thing left is what you did from start - 1/4" cables from korg to soundcard to get the sounds into Sonar as well. So two cables for stereo onto an audio track with just echo monitoring on.
This way you get all you played midi editable, possibly do program/patch selections on korg too if you want.
You can just record patch selections too doing select on korg while recording is running.
It's comfortable to have INS files, but I never bothered with that and it simplifies setup a bit.
Then when you want to render Korg to audio into Sonar you just arm record on audio tracks and record audio as you always do. Midi played out from track trigger sounds that get recorded.
There may be a slight deviation in time where midi note is in timeline and when the corresponding audio is placed - easiest way to compensate is to use Time+ to set midi to play back some ticks earlier, so both audio and midi line up. This experiment takes a couple of recordings depending on delay internally in Korg to respond to midi - but just remember this or make a track template to use for everything regarding Korg, and you do this once.