I have my current set up with my jog wheel being shuttlexpress ($25 on ebay) and my nanokontrol 2.  It suffices for most duties.  However, I can't seem to assign the *next track* buttons on the korg.  I used cakewalk generic surface in Sonar and assigned all the knobs and sliders.  But when I assign nxttrack it doesn't seem to work.  Any ideas?

I have a nanoKontrol2 but I use the generic Mackie control preset (the last option under the Controller/Surface dropdown) and all the buttons work as they should.

You might want to download the owners manual and paramater guide for the nanoKontrol 2 - 
 
The nanoKontrol itself needs to be into a specific mode for Sonar, correct drivers need to be installed ("should" happen automatically), and Mackie Control is the Korg-specified control surface that should be used. Once setup correctly, you shouldn't have to manually assign anything; the control surface setup should handle all of that.
 
For the price and size, the nanoKontrol 2 is actually a pretty cool little control surface!