I want to copy a keyboard lick to midi format so that Sonar can show me the notes played? That way, I can learn the accurate notes for playing on stage..
What is the proper approach for it?

Thanks in advance.

I think MELODYNE is you best bet
 
If you have the the upgrade for MELODYNE (to Editor) you chould be able to simply drag the audio file onto a MIDI track and the ARA integrattion should seamlessly convert the audio to MIDI and voila!

That can work, but it can also generate partial success.  Still, it is worth a shot, if you happen to have the upgraded version of Melodyne.
 
If you do not have that upgrade version of Melodyne, you could download its trial and see if that would do it for you.
 
Please note that the above are offered up in the event your piano 'lick' is polyphonic (more than a single note played at one time - like chords).
 
If that is NOT the case, and your lick is actually a string of single notes, then the basic version of Melodyne that comes with X3 Producer should be able to handle it.  Just drag that keyboard lick to an empty midi track (if memory serves), and Melodyne should convert it to midi automatically.
 
In any case, once it gets into midi data, you can click on the clip to highlight it, then click View>Staff View, and you should see the notes transcribed for you by Sonar.  This is handy, but not as fancy as say using Finale, but it does work.
 
In addition, Finale routinely offers a basic notation software application called Finale Notepad, for free, if you go to the Finale site and look for it.  That would give you some nice basic notation software, for free, and you can open midi tracks up into it and get things scored for your review.
 
 
I hope any of the above proves helpful, 
 
Bob Bone

I often learn parts this way, but I don't usually bother converting to midi.
 
Let's say I want to learn a guitar part from a video on the web...
 
First, I play the video into Sonar (if you don't have loopback settings in your interface, you can just use cables to send outputs into inputs on your interface) and record.
 
Next, turn the section your are interested in (or the whole clip) into a Melodyne clip. For this polyphonic work, i do have the upgraded version of Melodyne.
 
To work with it this way, you need to turn up sample buffers for your interface a good bit. If you want to work with low latency, copy the the audio track so one track has the Melodyne and one doesn't. Mute the Melodyne track and you can work with lower latency.
 
Now, play back the audio track and play along watching the Melodyne Piano Roll View. If you have some musical experience, Melodyne should help you pick out the correct notes much faster than you might by ear. Doing it this way may help you identify softly played incidentals that may not make it into the midi conversion.

I use a couple of other techniques, as well.
 
1.  I bought some software called 'The Amazing Slow Downer' for $50, and it allows me the ability to slow down any section of an audio track, without affecting the pitch, so that I can simply figure out the parts manually.  It can also loop through a given section of a song, allowing you to play along with it while you are building up the dexterity to play it faster.  GREAT product.
 
2.  MANY existing tunes have been covered by someone in midi format, where you can freely download a midi file for whatever song you seek, and then you can open that in Sonar and use the Staff View to see the parts there.
 
Both of the above work quite well.
 
Bob Bone
 

mistaken post.

If it's a popular song, search the internet for a MIDI file of it.

robert_e_bone
...  I bought some software called 'The Amazing Slow Downer' for $50, and it allows me the ability to slow down any section of an audio track, without affecting the pitch, so that I can simply figure out the parts manually.  It can also loop through a given section of a song, allowing you to play along with it while you are building up the dexterity to play it faster...

If you have an iPad/iPhone you can get an app called Anytune Pro + for $14.99 https://itunes.apple.com/us/app/anytune-pro+-slow-downer-music/id478293637?mt=8
 
I use all the time for learning a song or inputting notes to Sebelius notation software.
 
Walt