Small issue but we get better latency with WASAPI Exclusive mode,,, change to that. 
Sounds like your coming up to speed fast.  
Good news your midi is real midi ( 5 pin)  and not usb so the midi sport is your driver an should work well. 
Abacab is awesome at sorting things out so stay with him.
I'll jump in if he wanders off to get some sleep :)  

zzzzzz!!! You got the night shift, Johnny

abacab
If you just go to File > open > [select the .mid file] how many tracks open up in Sonar?  Does the TTS-1 open with one instance, plus a MIDI track for each part in your MIDI file?

Wowee! The entire MIDI arrangement opened up and all instruments are playing. Let me try importing the wav into this file now. I also did the WASAPI Exclusive mode change so we may be in business here in a minute.
 
Double Wowee!!! It's working! You guys are geniuses! Thank you so much!!!
 
"What a country!" — Yakov Smirnoff

MisterBebop

abacab
If you just go to File > open > [select the .mid file] how many tracks open up in Sonar?  Does the TTS-1 open with one instance, plus a MIDI track for each part in your MIDI file?

Wowee! The entire MIDI arrangement opened up and all instruments are playing. Let me try importing the wav into this file now. I also did the WASAPI Exclusive mode change so we may be in business here in a minute.
 
Double Wowee!!! It's working! You guys are geniuses! Thank you so much!!!
 
"What a country!" — Yakov Smirnoff

+1
 
Don't forget to use File > Save as > [select Normal for a Cakewalk .cwp project file].  If you re-save the project as a .mid you will lose a lot of things, that aren't part of the MIDI spec!  Don't ask how I learned this the hard way
 
I find that the GM (General MIDI) sound set in TTS-1 is a great starting point for a MIDI arrangement.  Probably the easiest way to use an existing MIDI arrangement is just to open it up in Sonar.   In fact. it's the only multi-timbral GM synth in Sonar!
 
But as you progress, it might be desirable to add some better sounds to your arrangement.  You can do that on a track by track basis, as needed, by inserting another softsynth into your project with the desired sound on a new simple instrument track.
 
Then you just go back to the MIDI track that plays that sound, and change the output to reflect the new instrument you want for that sound.  TTS-1 will not play that sound anymore since you just re-assigned that MIDI track to play a different softsynth.
 
Most softsynths are mono-timbral and will only respond to one MIDI channel and play back one preset at a time.  So you may need several instances of other instrument synths.  Say one for bass, another for drums or percussion, another for piano, another for strings, and so forth (those should be provided in the Cakewalk Studio Instruments bundle).
 
Some sounds in TTS-1 are good enough to leave in a mix.  Your ears should tell you what you need to change, LOL!
 
You said earlier "I have four individual tracks: a trumpet, tenor sax, trombone, and an oboe track."
 
I'm afraid that you are stuck with TTS-1 in Sonar HS as far as those instrument sounds are concerned.  But you really should take a look at the $1 deal for AIR Xpand!2.  It has those 4 instruments and more among the 2500 preset sounds.  They sound pretty good!  You may have seen this one already if you used the Pro Tools instruments.  And it is multi-timbral for up to 4 parts.  It's become my go-to synth for changing up sounds lately.

Good stuff as always John,  
Scook pointed out that if you have no midi devices selected for OUTPUT in Preferances/MIDI / Devices then Sonar automatically will load TTS-1 when you OPEN any midi file. Never import always open a midi file. 
 
And as John has said this is the best starting point as the file should play the way it was composed. All tempo data and program changes, effect setting the whole works loads up and plays perfectly. 
The trouble starts when you want to change patches.  
But first as John has said you can track by track upgrade your sounds buy inserting other synths and pointing that tracks output there. This is why I keep my midi tracks as midi tracks and never use the simple instrument track which puts the midi data in the same track.   
 
For Bass I use the SI Bass. That makes a huge difference and even though I have many other Bass VS I like this for my Backing tracks, It comes through a PA perfectly and I sometimes have to listen to see if I used my real bass or not. 
 
Most of my backing tracks were originally made on an Atari using a Roland MT-32 and later a Sound Canvas which were both the root of the GM format. Patch number assignments have changed so my Bass part often is Crystal or a Alto sax,  You made need to try a few different things if this is the case.  If you want to change the patch Sonar does not keep changes made within TTS_1 GUI,  you have to use the dialog in the track inspector. But even that doesn't work and especially if there is a patch change in the middle of the song! For that I actually found the only solution was to open the song in Anvil Studio ( very crude sequencer) and change the patch there. 
 
 

Some sounds in TTS-1 are good enough to leave in a mix.

I use midi sounds to compose, and when I put midi tracks into Pro Tools, I assign them to the best soft-synth sounds I can find.

But you really should take a look at the $1 deal for AIR Xpand!2.

I did that last night. Everything that was suggested I followed through on . . . the only money I spent was those two $1 deals. Thanks again for those great tips!

Scook pointed out that if you have no midi devices selected for OUTPUT in Preferences/MIDI/Devices then Sonar automatically will load TTS-1 when you OPEN any midi file. Never import always open a midi file.

I am now there, and greatly appreciate this tip (emphasis mine, above).

I have bookmarked this thread and will likely refer to it often in the days and weeks to come. Again, I appreciate all the freely shared expertise like you can’t imagine! Unlike a trumpet forum I’m on, the suggestions here are always good and have not screwed up one single thing, so I have boatloads of gratitude for you guys here!

This forum is all about helping fellow users. I think we shine when given a question most everyone can answer. The trouble is we often have members falling over each other trying to help. In that we are competitive. Welcome to the forum and use it as much as you like. We are here to help. Glad to see you here.