I am confused the same as azslow3 on your setup. The reason is this... *if* you are using the Kronos for both sounds (via external audio out), then the easiest method is to route the audio out from the Kronos to a single *audio* track. SONAR could care less what goes in, and all switching would be on the Kronos (no "mousing" required). Play patch one, switch patches, play patch two. NO MIDI is even recorded/required by SONAR for this (but also limits any editing, since no MIDI). You would want to save those patches as user patches so they are right next to each other on the bank listing.
Now, *if* you are using the Kronos as a MIDI controller (*only* sending MIDI (key note) data to SONAR), the best method is to set up two soft synths with both having MIDI input from the Kronos (MIDI only, no external audio in). Set one to MIDI channel 1 (or whatever), and the other to MIDI channel 2 (or whatever + 1). Manually input echo both tracks, then shift the MIDI channel out on the Kronos between "patches" and SONAR will shift which soft synth plays/records. Piano is fairly generic, and the lead can be something similar (and even edited to be final if desired).
For "real time" play, one of the two methods above would be simplest. Although there are methods to record MIDI and drive the Kronos with it, you will introduce latency, and cause routing issues that would take a bit more to explain. Also, the "switching" aspect would get complex *only if* you wanted to record the MIDI and the audio output. As it seems the audio output is highest priority, I would use the first method above. If you then get into a recording situation, overdubbing (recording one track at a time) would give you the best and simplest editing options.