You need to insert a soft synth ,, you don't need to use the lame sounds of a Yamaha keyboard. Sonar comes with some very advanced midi sound modules. Most everyone new to DAW's goes through this Duhh, why didn't I see that faze. So go insert a soft synth, you'll see what we are talking about then.
You can use your outboard sounds but that's actually more of a pain in the butt because it involves both midi and an audio connection. Then it involves things like local on/off and selecting channels.
So If your set up is recording MIDI you are half way there. That part is good. Now just insert a soft synth and assign the midi track you recorded's output to the soft synth.
If you can't figure out how to insert a soft synth after reading the help file topic, then ask and we'll guide you.