open up 4 tracks, set record for all 4, then set the input to your midi device. then record.
if not live, then record the part and clone the track. this is digital not analog, your not going to lose quality by making a copy.
there are no aux tracks in Sonar LE..i believe anyway.
so you also might want to explore the usage of busses to route your 1 track to multiple.
or use sends.