NOTE: in RD 300NX part my proposals are pure theoretical from the manual, I do not have the device.
In general, there are 2 methods to do this:
1. (better in general and simpler on Sonar side) Convince DP to send notes to different MIDI channels when you want switch instruments. For RD that means: creating 2 Live Sets (one per each virtual instrument). Switch to "remote" mode (MIDI button), configure one (!) layer in each and set this layer to distinct MIDI channel (by default the first layer is sent to "1", so you just need to switch the second Live Set layer 1 to send on "2"). Cleanup Bank/program changes there (-- -- --) to avoid confusing soft synth.
On Sonar side for both MIDI tracks set inputs to corresponding RD output / particular MIDI channel. And enable "Echo" for both.
Then you just have to switch between live sets when you want to change the instrument. If you do not need the whole keyboard, probably you can split it between two Live Sets (the same way as for internal sounds).
From the manual, it is unclear how good/fast/convenient Live Set switching works. So I mention the second method:
2. (in case the first method is not an option) Set sonar to "auto echo", so you need to focus corresponding track to play particular instrument. You can try focusing with mouse or computer keyboard (up/down in the track view).
For that to working from RD, you will need something sending MIDI messages. F.e. you can sacrifice 2 lowest keys for switching. On Sonar side you will need AZ Controller with 2 controls configured as "Track 1 + Focus" and "Track 2 + Focus" and assigne these controls to selected RD buttons. While sounds simple, better just let me know you want such preset (it will take ~1 minute for me to created it, but probably >>1 hour for you...)