I have a Roland SD50 and Cakewalk Sonar LE and I am trying to record down the Audio from my MIDI tracks by Soloing my MIDI tracks and selecting the MIDI tracks in the Input. But it seems to be recording very quietly even though when it is recording I can hear it fine. Any ideas why this might be?  

Ok figured out that issue, I had to turn "TG to Computer" on in the Roland SD50. Only problem with that is I had that turned off to stop the doubling of sound that was happening. I am sure I had this working before without the doubling but can't figure it out. Any ideas why I get the doubling? 

You should never set the midi track output to the same device as you have the input set to. This is what causes a loop. 
 
You seem to be desiring to use outboard sound modules. Have you tried using the soft synths ?  Much better to learn how to use internal soft synths. I have a Korg 05R/W and I haven't turned it on for about 5 years now. 
 

Have you got Input Echo on (on each track) and got MIDI set up right in Sonar which with the Roland probably would be the default - General MIDI probably in Options menu item on top in Sonar and MIDI Instruments - there marked with the usual General MIDI or how you want to mark it for all 16 channels of MIDI.)
I am not sure I remember but you may want to turn off Input Echo when you do record or playback. Not sure, it has been a while since I used midi.