I leave my on-board sound chip enabled, and make THAT my default Windows Audio Device, and ONLY have the ASIO drivers specified for use in Sonar.
This way, I can have a player open at the same time I am using Sonar, with Sonar using ASIO and the audio interface, and the rest of my Windows world using the on-board sound and WDM.
I get away with a single set of speakers, because I connect the speaker output mini-jack with the output split and adapted to 1/4" cords running to inputs on my audio interface.
So, I can control relative volume between it all, using the input gains on the interface, as well as the volume slider in Windows, and/or the main output volume for the audio interface.
This works well for me, as I routinely have an audio player "The Amazing Slow Downer" running to allow me to transcribe parts that I sequence into Sonar.
Please note that I turn Windows sounds off, as I got used to running that way when I used run everything live through a laptop, and I didn't feel like treating the crowd to the sounds of Windows booting up and such. (this doesn't affect anything, just thought I would share it).
Bob Bone