First bear in mind you (almost always) can't use two audio interfaces ASIO drivers at the same time. Which may have an impact on you or may not not depending on how you work and how you route audio.
However clock sync is done via MIDI.
I don't have an Axe FX but assuming the Axe does MIDI over USB and works look pretty much all MIDI devices and you've installed any drivers needed for it, it should show up as available MIDI ports in Sonar's preferences/MIDI devices sections. Make sure the relevant boxes are ticked so Sonar will use it.
To send MIDI clock to tempo sync the Axe go into preferences/project and under those MIDI settings make sure the Axe is selected for Sonar to send clock to. These settings are per project, so will need to be set (or at least looked at to confirm they are set) for every project.
If the Axe only does MIDI via 5-pin MIDI sockets you'll need to connect those to a MIDI interface then ensure the relevant MIDI ports on that interface are being sent clock.