I figured it out:
Importing MIDI files
You can create a new SONAR project from a MIDI file simply by opening the file. SONAR takes material from the file and places it into one or more tracks in the Track view.
To import data from a MIDI file into a project
1.
Open the MIDI file as a new, separate project.
2.
Choose Edit > Select > All.
3.
Choose Edit > Copy Special to display the Copy dialog box.
4.
Make sure that Events in Tracks is checked. If you don’t want to import tempo changes, meter/key changes, or markers, uncheck those options. Click OK.
5.
Open the target project, or click in the Track view for that project.
6.
Set the Now time and current track to indicate where the material should be placed.
7.
Choose Edit > Paste Special to display the Paste dialog box.
8.
Check Paste to One Track if you want all material imported into the current track.
9.
Click OK.
SONAR imports the material and displays it in the Track view.