I just bought an M-Audio Mini-32 Keystation to use in Sonar.   It doesn't have a sustain pedal, but it does have a sustain button.  Whenever I hit the sustain button, it works fine when I play through Sonar just listening live.  However, when I record a track, it only records very short notes, totally ignoring the sustain. Any thoughts on how to fix this?  It's pretty much made recording with my Keystation useless.

Thanks for the help! 

Check preferences->Midi->playback and recording
 
and that controllers are to be recorded.
 
And look in midi event editor what is actually there in a recorded midi clip.
And post here what it says. Just make a short clip that is to contain sustain midi CC#64.
 
What I have seen is that old style Roland keyboards had a habit to send AllNotesOff as soon as all keys are up. So I had issues like you with that. solution then was to glue top key down with adhesive tape - then all was normal and as expected.

Thanks for the help! I just went to preferences/midi/playback and recording.  I didn't see any option to make sure controllers are recorded.  Next, I tried switching my sustain pedal/button on and off while recording.  Interestingly, it worked.  So, I can't begin a recording with sustain, I have to add sustain while recording.  Is there a way to begin the recording with sustain?  Why does Sonar start the recording without sustain (even though I can hear the sustain through my monitors)? 
 
 
ADDED:  I'm not sure if this is a separate or related problem, but I am noticing a lot of distorted/crackling/hissing noises when I play my keyboard.  I'm using a simple instrument track with the Cakewalk Sound Center.  Also, sometimes when I add a new simple instrument track, I get a loud beep and then a message that says my audio engine has been dropped. Usually this doesn't happen, but it does every once in a while.   My computer is 64 bit, but sonar says the sound center is 32 bit, could this have something to do with the problem? 

Sustain on/off is not sent continuously so SONAR has no idea what the state of the button is when it starts recording. If you want sustain on at the beginning you will need to record the event before playing or manually add the event.
 
The other issue (distortion/crackling...) is probably too small a latency buffer setting. It has nothing to do with CSC. It is a matter of setting up the audio interface and SONAR Preferences > Audio > Driver Settings Mixing Latency section correctly. What audio interface are you using?

Hi Scook,
 
I'm using a Komplete Audio 6.  For my computer, I have a 2.6ghz cpu/8gb of ram, 64 bit. 
 
  

Make sure Preferences > Audio > Playback and Recording Driver Mode is set to ASIO. You may need to adjust the number of buffers in the software supplied by NI for the interface.

Asio is selected.  Also, the distorted tones don't show up on all the midi programs.  Electric Piano is alright, for instance.   I'll keep working on it.  If I don't figure something out, I'll post another message here.  Thanks for helping me out!

Is the 'P' pedal event showing in the Staff view?

If not, you can manually enter it and drag the pedal off event if you want the sustain to be longer or shorter.