Do you have a MIDI keyboard controller with assignable faders, knobs(rotary controllers and buttons? If so it is very easy. Assign an unused CC to a either a fader, knob or button. Then in the plugin click on MIDI learn for the parameter you want to control, move the fader, knob or button you just assigned the CC then click on MIDI learn again. Now that controller will control that parameter. Note you can do this to some degree with other MIDI controllers but I have found that a keyboard MIDI controller has the yields the most options.
If you don't have a MIDI controller then how you do this will depend on the plugin. Some like Kontakt will allow you to assign a CC to a parameter without a controller. Others may also have this option. With these you assign a CC to a parameter then in Sonar write in your CC settings. You can use the piano roll view to do this.
I hope this helps - good luck.