Playing MIDI through Sonar instruments instead of through soundcard instruments.

I've done that. I've nicked a few piano riffs and added them to a song or two.

This is what I've done. There's probably more than one way to do this:

Import the MIDI file into a new project.

(Now I see several tracks. ie drums, piano, etc.)

I then open the synth rack and create a new synth track after selecting an instrument that I like.

Then I drag the original MIDI track to my synth track and off I go.

You can delete the original MIDI track.