With vst plugs you select source and instrument and bounce to tracks, but in this case I have an external hardware keyboard so there isn't a vst instrument to select. How is it done?
 
Thanks - rev

Send the midi to the hardware synth, connect the synth audio outputs into your sound card inputs and record the audio.

Got it thanks! Do you have to do it in realtime?  

Hi. Yes you have to do this in real-time.
All the best.

Thanks!

If your keyboard support it, you can also record a midi track then use that midi to trigger the sounds of your keyboard. I find recording midi vs recording audio has its pros and cons but mostly pros.
By recording Midi, if you make a mistake you can always go in to the piano roll view and simply fix the note.
Or use the midi to trigger other synth sounds within Sonar (using Sonar/other Synth plug ins)
Recording Audio is a lot harder to fix than Midi.

• You can also record a midi track then use that midi to trigger the sounds of your keyboard.
• By recording Midi, if you make a mistake you can always go in to the piano roll view and simply fix the note.
• Or use the midi to trigger other synth sounds within Sonar (using Sonar/other Synth plug ins)
• Or switch measures around
• Or even restructure the whole song 
• Or change the tempo because MIDI tracks stretch or shrink to fit a change of tempo
• Or trigger sounds from more than one device, at once or one after the other
• A bass track could become the basis for a strings track
• Velocity can be changed or keyswitches added to get a different articulation from the same VI 
• Add variety on subsequent iterations of the same data (choruses)

But first, you do need to know how to make audio from MIDI :)