OK it seems that perhaps midi data cannot be locked while the tempo is changed. It might be a case of doing it the same way Studio One does. If you double the tempo in Studio One then the midi data plays out twice as fast etc but then they give you the options to spread it all out again (while the project tempo is doubled that is) and put the music back to normal speed. By either selecting halve tempo (of the midi data that is) or adjusting the midi data tempo slider. So you end up with the music normal and the session tempo doubled.
 
What you have to investigate now is how to do the same in Sonar. Maybe some Sonar midi experts might chime in here and help. I am hoping you can. You need to modify the start times and double the lengths of the notes perhaps. There are quite a few processes you can do to midi data in Sonar so you need to investigate it from that angle I think.
 
 

If I wanted the beat of a song to be twice as fast, which is what I think you are asking, I would enter MIDI notes in a seperate track between the drum notes for the existing track for 1 measure, groove-loop that clip and drag it out to the end of the song.

I got it now.
1. First you have to double / half tempo of the project.
2. Then lock the tracks like mentioned erlier.
3. Go to length and change by %. Ether 200 or 50%.
There you go.