I have Sonar Platinum and run an external (Roland SD50) sequencer to play my midis via USB (no problem there). Not only do I want to trigger the midifile player from within Sonar but I also want to record WAV files into Sonar from the MIDI file player (again, via USB). Ideally, I would like to record each of the 16 MIDI channels as separate WAV files (separate tracks for each instrument). Problem: I cannot record any WAV data from the MIDI file player. What am I NOT doing correctly? It plays MIDI data as per normal. I choose SD50 as Input and Output.
 
John

which version of sonar are you using ?
have you tried using the AUX tracks ?
 
I am a little confused though. you are sending midi signals direct to sonar, using those midi signals to trigger synths ?
what kind of synths ? multi out (like the TTS) or singular (like Rapture / Dim Pro?

Have you got the Roland set up as the audio input in SONAR? Check your Preferences; what is listed under Devices for Input Drivers?

Also, have you confirmed that the USB connection of SD50 transmits audio? There are quite a few sequencers and synths that can transmit audio only through separate audio outputs, even though everything else goes via USB.
You don't mention it, but I assume you are using Rolands own sounds as you talk about recording wavs directly into SONAR. When talking about this kind of MIDI tasks, it's essential to mention where the actual sound is created, as there are often so many options. 

Its a new version of the Sound Canvas. There are drivers for Windows 10 and can output audio and MIDI and receive MIDI. There's also a instrument definition for it on the Roland site. However it is discontinued.  
 
To the OP regard this as an external synth not a sequencer. Use Sonar to send MIDI to it and record the audio coming from it.