M-Audio Keystation 88es Channel Change

I have that same controller, but it works like this for any controller, if you leave Sonar set for Omni (default).
 
Omni means that Sonar will send any midi data it receives on that midi track to the output synth assigned to that midi track.
 
The trick is that you have to do one of two things to get Sonar to REACT on that midi track for what you are playing on your controller:
 
1.  Bring THAT midi track into focus, by clicking on the track in console view, or in track view by clicking on the number on the far left side of THAT midi track (click on the track number).
 
2.  You can have the focus on another track, but still hear your midi track's associated synth IF you click on that midi track's midi Input Echo On button, so that it lights up.  I use this method to cause multiple midi tracks to play at the same time, so I will have the focus on let's say a nice piano midi track.  I may also want to hear a backing pad, so I will have a separate midi track and associated synth set up, and all I have to do is to simply click on the backing track's midi Input Echo On button to ALSO get Sonar to send any midi data along to the associated backing track's synth.  You can do this with any number of different midi tracks, to get all kinds of nice layers while you are playing.  You can decide if you want to record all of that data at the same time, or not, by arming any of those additional tracks for record.  (I don't actually suggest that usually, as I tend to hold backing track chords more and not have them echo every single piano note, and so on).
 
 
So, in any case, however you end up choosing to configure things, for none of the above do I have to change my midi controller's midi channel, NOR do I have to set different midi channels for the additional midi tracks.  Sonar will record each of my midi tracks on channel 1, the default, but each track only plays back the midi data recorded on its track, and sends its midi data only to each track's designated synth from the Output assignment made for each midi track.
 
Things DO need midi channel adjustments when you have multiple instruments loaded up into a multi-timbral synth like Kontakt.  If I have a single instance of Kontakt loaded with Piano, Strings, Bass, and Organ, I set up the Kontakt Output routing section so that each loaded instrument gets its output routed to its own stereo output channels, and Kontakt automatically assigns the next available midi channel to each synth as it is loaded into Kontakt.  This means that if I loaded the instruments in the order of: Piano, Strings, Bass, Organ, then Kontakt will assign those to midi channels 1,2,3,4 (Piano gets 1, Strings gets 2, etc).
 
Then I set up a separate midi track and audio tracks for each of the instruments, BUT the midi Outputs will all say only Kontakt as the synth - that alone will not send the Piano midi data to sound through the Piano instrument.
 
For THAT to all work, I go to each midi track, and just under the F/X bin of each midi track, there is a place to set the Midi Output Channel, and I click on the drop-downs of each track and set the appropriate midi output channel for the tracks (Piano gets 1, Strings gets 2, etc).
 
Then, as any midi track for the above is brought into focus, OR that track's midi input echo on button is manually lit, then since all the tracks are set to Omni, Sonar will not care that your controller is set to channel 1, BUT it will transform the midi channel of any data you trigger through your controller to that of each midi track's midi Output Channel assignment.  SOOOOO, even though I play my controller on midi channel 1, IF the midi track for Strings is in focus or that track's midi Input Echo On is on, then Sonar will send any triggered midi data on midi channel TWO (2) of the Kontakt synth, and you will hear the Strings sounds playing.
 
I have to head out to church, so I have to stop.  The above may seem quite confusing, but once you get it, it will quickly become second nature to you - it's harder to explain than it is to just do.
 
You can layer up sounds from different instruments any way you wish, and Sonar will cheerfully accommodate you, as long as your routing assignments are set properly, AND you have the desired tracks set to send midi data to their associated synths (focus and/or input echo on, as described above).
 
I HOPE some of the above helps you with it all - best of it all, and please post back if you have any problems figuring any of this stuff out.  The forum is a GREAT place for help and guidance.
 
Bob Bone