You don't mention a few things that might help us help you, the more details of your system the better.
First, which version of Sonar, and second what is your USB audio interface make and model.
Always use the most up to date ASIO audio driver found on the manufactures web site.
Make sure to check in Sonars preferences that the audio interface is set as the Timing master etc.
Make sure your Oxygen keyboard shows as your MIDI input device in preferances. If it came with a midi driver, install it.
When you insert any soft synth you have options for how many outputs. If you don't want 4 then choose single output.
To play a soft synth from your keyboard select the keyboard as the input device, omni for the midi track. Activate input echo, point the tracks output at the VST you wish to use.
This is all covered in depth in the help files.
https://www.cakewalk.com/Documentation?product=SONAR%20X3&language=3&help=SoftSynths.01.html