MIDI communication stops on new keyboard

I just traded in my old Kurzweil stage piano for a Yamaha P35B keyboard, and I like it a lot. However, I'm having some trouble getting the MIDI to work properly. The keyboard transmits on channel 1 by default, and it works fine for playtback and recording most of the time within Sonar X3e, but if I open a second project, the keyboard does not play or record unless I turn the keyboard off and back on. I need to do this every time I switch between projects, and right now I have a project open where that doesn't even work. When I recorded the piano a few minutes ago it worked, then I switched to another project, requiring me to reboot the keyboard, which was successful, then when I went back to my first project again, I reboot the keyboard and it still doesn't work.
 
1) Why do I have to keep doing this every time I switch projects, and
2) Why does rebooting the keyboard not even work for this one dummy project?

Thanks. The Midisport has been working fine for a few years, and this behavior started as soon as I swapped the Kurzweil out for the Yamaha. So it seems pretty unlikely the Midisport is at fault. 

Yes, I am using the same MIDI I/O setup that I had for the Kurzweil. Basically I just unplugged the cables, bought the new keyboard, and plugged it in the same way. (Well, new cables actually, I gave the buyer my old ones.)
 
Thanks for the response. I think it has something to do with this. According to the manual, this keyboard has Local Control ON and cannot be changed. I want to use the keyboard for both controlling soft synths as well as its own piano sound. I've always been pretty confused by the Input Echo thing, to be honest. In addition to the MIDI cables going to the Midisport, I am also routing the audio output straight to my mixer so that it comes through the headphones rather than through the Yamaha's own speakers.
 
If Local Control will be always ON, am I going to get double hits because I'm also sending Midi back through Sonar? Can't I always simply turn the volume down on the keyboard?

I have no idea. How would I find this out? Also, I'm coming to realize the value of Local Control being OFF. I cannot record a soft synth without also hearing the Yamaha piano unless I turn the volume down on the Yamaha. Then when I play back I have to turn it back up if there's a track using the Yamaha's piano sound. PITA. I looked online and the P-105b keyboard allows Local Control ON and OFF. Plus it uses USB MIDI rather than the Midisport. Maybe that's what I need.

Did you follow my advice and look in midi preferences to make sure the midi sport midi input is on the list when it stops working? 
Are you choosing the "midi sport omni in" as the input device option for the new midi or instrument track? 
The input echo needs to be on ( purple) to hear sound from soft synths. 
You can shut off midi output when you don't want to hear the piano on playback. 
There's a chance that if you turn the piano's volume down while connected to a soft synth you could also turn the volume of the soft synth off via CC. 
There is also the midi tray icon that should show activity. 
The new midi cables??. ( long shot there) 
 
According to the spec sheet it does not have USB connectivity. 
 
http://usa.yamaha.com/products/musical-instruments/keyboards/digitalpianos/p_series/p-35/
 

Thanks for everyone's help!
 
I'm starting to think the issue lies within the Yamaha itself. Today as I sat down to mess with this, I couldn't get any output from the keyboard during playback, though recording worked fine, and during playback the Midisport box twinkles and the volume indicators jump around. No audio though. Plugged the headphones directly into the keyboard, still no audio during playback. Opened a couple new projects, tried to record, same result. Recording went fine, playback no. Then using the keyboard as a controller, I created a simple Midi track to playback on my rack mount synth, and that went without a hitch. Only the piano failed to sound. Then I turned the Yamaha off and back on, and everything now works fine, and I can switch projects, create new projects, and have no troubles. This feels to me like a winky circuit within the Yamaha somewhere. Yeah?
 
To clean up some answers from other posts, the Midisport drivers are active and Input Echo is set to "Auto", so the button has a little A on it and is blue. (Still don't understand what that means.) The input for new tracks is All Inputs Omni. 
 
If I have a faulty keyboard, I can exchange it, but I'm still wondering if I need to upgrade to the P-101b, which has a Local Control setting ability. I hate having to turn down the keyboard volume to record a soft synth, because I use piano in a ton of my work, and I don't want to lose that every time I record another track.  And bouncing to audio every time is worth the $150 extra not to have to do. That is, if a Local Control setting is what I'm looking for. With the Kurzweil I never had to do any of this. It just knew that when I was on a piano track it would play, and when not it would route to the soft synth sound and shut itself up. 
 
So tell me if I'm understanding this correctly: If Local Control is on, then no matter what track I'm sitting on in Sonar, the piano plays itself when I hit a key, in addition to whatever else Sonar is instructed to play with the Midi info it is given. With Local Control off, it will work like the Kurzweil did, the only issue being a little latency possibly because I'm routing the Midi information out of the now non-playing keyboard, into Sonar, and funnelling it back to the keyboard at which time it will play. (I do recall occasionally having latency issues when playing a piano track on the Kurzweil.) 
 
I need to know if I should return this keyboard, and if I do, should I get the P-101b to be able to switch Local Control.
 
Thank you all again!!