Haven't had a chance to try "jason's" method yet, but cactus' method works, however, I do get a latency kind of response... if I mess with my local, when I press the key I get the bass as well as a drum sound... not sure what's up with that... also, still trying to figure out how to bend a bass note, the keyboard has no bend/pitch wheel.

Tindog13, one of the reasons I do my midi work that way is I had latency issues when using the soft-synths to play the parts I'm creating. Using the keyboard to create the midi parts then assigning things later to a soft-synth gets rid of that problem for me. Remember...don't get impatient to hear your final results while your creating. One of the joys of midi is the ability to change your sounds, even 20 years later, to the current available soft-synths of the day...truly cool...You will develop your "go to" sounds after a while and things will get faster once you know what they will sound like in the finished product. 
 
On bending the bass note...This is something I do, and what the loops available to you can provide...I have listened to all the bass loops that come with Cakewalk and have written down the ones that do cool little flourishes that are hard to re-create on keyboards, whether you have a mod wheel or not, somethings are just hard to do sooo... I add a 2nd Cakewalk bass into the mix just to find the add-ons I want to use...example...say I'm at the end of a bass part on the 4th or eight bar where I want a little bass thingy...well I go to the bass loop library and find the "specific" little flourish and edit it out (change the key to fit your song if you need to)...now I have this cool little bass thingy I just add into the original part. I do this with drums as well...You really can't do fills on a keyboard and get them to sound like a real drummer so I never do fills. I'll find a fill that sounds cool and sounds like a real drummer did it and just cut that fill out, that way I get to use my hi hat, kick and snare that I created for the main parts, and just add the things that you can't do well on a keyboard. I know this is time consuming at first 'till you get to know your loop libraries, but it's real effective in making things sound real. I occasionally will use an Acid loop or some other file but you have to EQ those to sound like the Cakewalk bass parts and sometimes that's hard to do...but if you're only using the Cakewalk bass soft-synth only...you won't have that issue. 
 
 
Hey Cactus - I have had the ..."Oh Sh**...what was the original tempo...?" thing happen to me before, especially when I bring the midi tracks into another program so I started naming all my tunes thusly... Stairway To Heaven b104... the small "b" is like a quarter note and the number is the tempo used...You'll never have that happen again.
 
Keep writing
Jason216

I appreciate the help, unfortunately, the only way I know how to do this stuff is to lay down a keyboard or gtr part to click and start playing the other parts. I was just hoping to be able to slide some bass parts and improve my array of sounds beyond what my keyboard offers... but it won't work for me with the latency. I prefer to play as if I'm recording analog. Midi confounds me. I can spend half a day figuring it out, then try to to do it exactly the same way later and something is different and it doesn't work, another half a day gone and little accomplished. Local on or off, echo on or off in whatever combination, channels, omni, ins, outs, throughs, assigning which or how to a track... it all boggles me, and never seems to work the same one session to the next. Whenever I start mucking with midi, my keyboard starts playing sounds I don't want or even two sounds at once, like a bass and drum patch at the same time, once I fix it, suddenly nothing is going to X3... sheesh, give me a portastudio. I'm sure I'll keeping asking cause this is what I have to work with... bummer, never had to deal with latency recording analog. I'm slowly making it work, getting some decent recordings done, but I spend so much more time fighting the process than being creative.

Tindog, do you have an interface, or are you using your computer's built-in sound card?
When recording MIDI/softsynths live, you are entirely at the mercy of your sound cards performance.
The MIDI data is recorded on time, but you won't hear the sound until your sound card/interface has processed the audio output of the synth.
 
Does your keyboard have the ability to change the MIDI channel it is transmitting on? If so, you can use this to your advantage.
Give us some details on your setup. It looks like you may be fighting some basic stuff, and we can help you better if we know what you are working with. The best approach is to list your system specs in your signature, as you see in many of our posts. That way, it is always available.

Agreed what Robert say's. I got a feeling your trying to work without an interface. 
Possibly a USB keyboard controller. 
You need good audio drivers to run Sonar and only then will you not have latency. 
The other thing that can cause midi latency is having certain audio efx plug ins running. Best to bypass all efxs while tracking. 
What you are describing is related to both a lack of proper audio drivers and having a handle on the input echo icons. If two icons are toggled then those 2 tracks output will be triggered. 
You only want the track your going to record to have the input echo on. 
 
You might benefit from the Sonar Power Books. I'm just wading my way though one myself and it's like Sonar for Dummies. Easy to read and not as mind boggling as the Users Manual. 

I'm using the Presonus Audiobox USB, and yes, I'm sure the keyboard has that capability... it's a Casio Privia Px-300, with the GM sound bank.