If your keyboard has on-board sounds, you will also want to go into its settings and turn the parameter "Local" to Off. Otherwise, pressing a note on the keyboard triggers a note locally, and another will get triggered through the midi data coming back into the keyboard through Sonar.
This doubling is avoided when Local is Off, because it tells the keyboard not to respond directly to notes being pressed, and rather, will allow the midi data coming back into the keyboard to be what triggers notes.
Bob Bone