midi and audio devices are separately managed in Sonar.. so you can enable the piano as a midi device only. you then have two approaches, and its pretty obvious i favour the second. :)
a) enable input echo: the "generally accepted method"
i) find the setup for local control on your piano and disable it
ii) play the piano, send midi to sonar, record it, have it come back to the piano, hear the piano
ii) Playback midi through your piano, and edit midi track to suit
iii) play midi track and record piano audio through your interface, OR
iv) play midi track, record piano onto the usb recorder and then import (drag/drop) to sonar
a) disable input echo: the "lower latency and no mucking about method"
i) play the piano, hear the piano and record midi into sonar.
ii) Playback midi through your piano, and edit midi to suit
iii) play midi track and record piano audio through your interface, OR
iv) play midi track, record piano onto the piano's usb recorder and then import (drag/drop) to sonar
hope this helps