Well, I choose to run with the Windows Default Audio Device set to be my HDMI output of one of my 2 HDTV's, which have their own speakers. That keeps all non-Sonar sounds completely away from my audio interface.
For Sonar, then, and other stand-alone music programs - Dimension Pro, Rapture, etc., I have them set to point to the ASIO drivers of my audio interface, but then I also run only one of those kinds of programs at a time. (the stand-alone versions of synths, like Dim Pro, etc., are the versions that run by themselves outside of Sonar - NOT the plugins for these programs, which get inserted into Sonar - just clarifying)
Anyways, so Windows sounds - HDMI, Sonar - audio interface.
Hope that helps,
Bob Bone