S/PDIF connection and external effects unit use in SONAR X2 question

I've recently added a Lexicon MX300 rack effects unit to my collection and am having the darndest time using it as a "hardware plugin" that it says it can do. Part of the apparently difficult setup entails wiring my interface (Focusrite Scarlett 18i6) to the MX300 via S/PDIF. Then of course, I am instructed to setup a bus for sending and one for returning audio to/from the MX300 via the Focusrite, within SONAR X2. Even those directions, where I've been able to locate ones "sort of doing" what I need it to do, has been confusing to me too.
 
So needless to say ,I, for whatever reasons, cannot get this to function. So I am breaking it all down, starting over, and am starting with wires - the simplest thing I can think of to begin with.
 
My question is: Do S/PDIF wires need to be coax, or can they be regular (albeit higher grade) RCA audio cables? I cannot find an answer to that - all answers come back to "RCA connectors" Yeah, OK, got that, but what about the *WIRE*? Then I find that RCA coax does exist. Walmart sells it even. Which do I need? (before I drop $25 on a pair ($12+ each, I need 2) of RCA "coax" wires)
 
Also - any of you gurus out there have a step-by-step guide on how to wire up and route within SONAR X2 Producer, an external effects unit, I am all ears and would be eternally grateful for a link to it or quick numbered list here. I searched here and nothing came up that seemed remotely close - I've searched online via Bing, Google and Yahoo and have come up basically empty on actually doing a setup like this. Of course, the Lexicon manual tells you to look in the SONAR manual. So TIA for anything you can point me to.

Thank you for the reply Cactus. Yes, I am syncing it to my Focusrite. I'm so frustrated with it, or certainly was, that I just didn't feel like burdening the board here with the seemingly 100s of things I've checked and rechecked. I had long ago made sure that the Focusrite was the master, as that is how it and SONAR seemed to want it to be in the first place. The Lexicon was set to sync to whatever it was connected to automatically and does so like a champ (thankfully) which is good, because there are some "rules" both the Focusrite and the Lexicon say about connecting like this as it applies to bit depth/frequency IIRC.
 
Since my last post and your reply, I have made a breakthrough and have finally gotten my interface and the effects box talking. I can hear the effect working on sources from my interface (so far I've tried an analog pair input directly to the interface and DAW1 and DAW2 inputs from SONAR). But I am hearing the effect through the real-time monitoring function in my interface - I know this. So I am presently trying to wrap my brain around the routing required to use the effect as a "plugin" within SONAR now. While also figuring out how to handle the monitoring of that since it wouldn't be real time. I don't think. This is my first major dive into what a DAW can do beyond the basics of novice-level recording and mixing and I've run smack head on into the learning curve.
 
BUT, now I at least know that my RCA cable is not the issue - which is where I started out on this thing again today. lol Thanks again for the guidance.

Thank you guys for the replies. I have managed to get something that was a recorded track in SONAR, out through my interface->s/pdif->Lexicon & back, and can record/input that result as a stereo track. That is actually pretty cool how easy it works and how great it sounds - before any editing even.
 
Right now I am fighting trying to get access to the MX300 as a plugin effect in the fx bin on a track. The VST shows up in the list, but it says it cannot open the unit because it is open somewhere else or due to some other failure...and the Lexicon stuff says you can get that if anything grabs its MIDI port...which I've told SONAR not to do...but other than that you guys got me fixed up on getting the signal out and back. A BIG thanks to ya on that.