hi wats the best way to record midi files for live playing ,,,,

What do you actually mean? I read it as it's written: you ask how to record MIDI (??). Recording it doesn't depend on what you are using it for, recording MIDI is the same no matter what the use for the recordings is.
You can do it with a MIDI keyboard (which is the best way) or with the mouse in Piano Roll View.

But somehow I think that's not what you are asking....

i record from ctp4 to yamaha key board to mini disc player .....do i hav to use the keyboard ....if not wer i get my souns ....thanku

Ok. So you are not familiar with the consept of MIDI and softsynths at all ?

What is a ctp4?

What is it the material you are recording? 

I suggest you do the tutorials of SONAR and read about soft synths in the manual. There are quite good videos for learning as well, but as I've never used them, I can't point you to the good ones, unfortunately.

Rocko, 

you did not mention what cake product you have ...if any...

but here are some videos that take you through the capabilities in MC6... a "beginner level" DAW... which I used for years to record my music. 

http://www.cakewalk.com/CakeTV/Music-Creator.aspx

Take the time to view these and then if you have questions... post them in the forum. 

There are several ways to do what you want to do... using this software, and viewing these videos may answer your questions.