Do what ever sounds best. Each situation is different and there steps and rules on how to get this sound your after.
Do you own any old style tube amps or tube compressors? Use them in the signal chain.. sonar is all digital and contains all digital effects. There is no true substitution for the real thing.
When recording a band, all you need to do it capture the true sound. form each instrument the band member is playing.
Should I
A- record each instrument in a clean and dirty channel (or is there a better setting?)
B- Plug into their mixing board and use 4 USB Interfaces
C- Record all instruments with their effects and eliminate clean channel thinking.
The best advice to give you, since your asking these questions is to hire an audio engineer to record them. These decisions are all judgement calls, except for B. One interface with enough inputs is all you need. Using 4 different interfaces is not a choice, since the clocking will be all screwed up...