Yes as said above it's not clear what your trying to do and how it is connected.
You do say your hear a piano but then who knows, that could be your midi output is sending to MS wavetable .
The list:
In preferences/ midi/ devices/ select your audio interface as output.
Set the output of the Sonar midi track to the interface midi port
Make sure your midi cable is from the OUTPUT of interface to the INPUT of the synth.
Make sure your hardware synth is set to receive the midi channel your sending
Monitor the hardware synth by plugging the audio outputs into your interfaces line inputs which will also allow you to record it to an audio track.
This is all only worthwhile if the hardware is unique and cannot be duplicated by a soft synth. If you make any changes to the song or the midi track you have to re record the audio again, and again.