For the millions of years I've used MIDI it was always a case of assigning a channel to a given instrument in the "band". 16 Channels was always way more than I ever used. 
Now an orchestra is a different kettle of fish, but I believe what folks do is open a VST that has 16 channel capability ( TTS_1) and build a "section"  in there. Need more channels? insert a second TTS-1 or another Soft Synth. There's  only the limitation of your hardware at this point. 
 
To do what you want I would set up all the tracks that are needed, each with it's own channel Assign their outputs to the soft synth. Then simply cut /paste the parts as you cruise through the song to the correct track ( channel)  
 

Guitarpima
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On second thought, it seems ludicrous that you can't do it. Imaging having to have up to 8 midi tracks for one part if you write for an orchestra? Hundreds of midi tracks. Crazy!

You can select whatever notes you want in the PRV and their channel can be changed in one shot with the event inspector.  No need to futz with the event view for that.


You guys know this, but to clarify, "channel" is an event attribute.  It's a nibble of each channel specific event byte (of which note-on is one type).  The channel-out setting for the track will override the channel attributes within the track.  I think of the track's channel-out as a re-channelizer.  So if you really want multi channeled events in one track, no problem, just set the track's output channel to none.  Each note event will then transmit over the channel coded into it. 
 
For note insertion, the channel attribute will be whatever is set in the event inspector.  Of course you can't change that unless at least one note is selected, so changing it will change the currently selected note(s) as well.  Depending on your process, this can be inconvenient - as implied by advice given earlier in the thread.  (BTW, if you happen to have had several notes on different channels selected - the event inspector will show blank for channel, as expected - and looks to me like the next note inserted will be given the channel of the last note selected previously, whether or not it is selected at moment of insertion.)  But if your process permits you to insert first and channelize later, should be pretty straightforward.
 
Key switch recording to change synth configurations is perhaps a more complex proposition, but hopefully made simpler with the above basics in mind.  The input midi port should be set to omni.
 
HTH someone.  -Ron

Guitarpima
I was looking at the DM manager and I think putting the appropriate clips on their own tracks according to channels would be faster. It seems weird to me that you can't make the changes within the tracks instead of having many tracks for one part. At any rate, it was a learning experience.
 
On second thought, it seems ludicrous that you can't do it. Imaging having to have up to 8 midi tracks for one part if you write for an orchestra? Hundreds of midi tracks. Crazy!

It maybe that way now with soft synths but MIDI was created for hardware synths. The Port was the basic point that excepted channels. More than one port equals more MIDI channels. The old Sound Blaster had 2 synths for a total of 32 MIDI channels.  My Roland Sound Canvas has 4 synths with 4 ports.
 
When we use Sonar with soft synths we may not be all that aware of the history of MIDI and why it has the specifications it has or the limitations. With Sonar however its easy to over come some of these limitations by adding another instance of a synth. You are using a multi out synth  that can except many channels of MIDI. Each channel should be looked at as a track.  It makes using Sonar so much easier.  
 
 
 

Just an update. It took less time to create the midi tracks and assign each it's own channel and then just split the tracks as I went. If I remember correctly, I can view them all at once in the PRV and edit the lengths and other stuff. I just finished the first part  and only have 3 more to go.
 
My first experience with midi was with the MC500mkII which IIRC, was a Roland product. It was the early 90s and back then the RD1000 was new. I never thought it sounded like a real piano so I mixed it with a string sound from another synth, an M1r IIRC, and then I thought it sounded like a real piano. Those were fun times.