I am trying to set up two sets of speakers and want to be able to switch between them. How do I assign all outputs so that they go to the MAIN and SUB outs at the same time so that I can monitor from one or the other?

Someone else more knowledgeable will hopefully chime in, but I think you could make this happen using sends.
 
You would route sends off of your main outs to another bus which would then be routed to your alternate outputs.
 
Here is some information on sends: http://www.cakewalk.com/Documentation/default.aspx?Doc=SONAR%20X2&Lang=EN&Req=Dialogs2.131.html

Depends on your interface. If your interface has 1/2 and 3/4 out then insert a bus for each of those and assign the inputs ( source) to your master. 
Your master is probably already assigned to 1/2. So just create a new Bus for 3/4. Some templates I use have this already. 

One way:
 
Put a send on the Master bus to a Sub buss, and set the output of that bus to the other physical outputs. Then solo the master, and group the solo button with the solo button on the Sub bus so they work in opposition. Mute won't work because muting the Master will mute the send, even if it's prefader.

I have the m-audio 1010lt and I use the spdif out to my digital speakers. The m-audio out replicates the out to 1/2 and the spdif. I use the 1/2 out to my headphone rackmount which allows for monitoring what is going to the speakers.
Depends on the way your audio card is set up. I always open my audio card after loading Sonar to, as per somewhere I read on a sonar page, allow the interface to sync.  Sync, probably isn't the right term, but it works for me. I have noticed, (since I switch around my audio specs every now and then. You know 44.1, 48, 96, and buffering) that my card will track audio specs to proper settings that sonar is set to.
I HAVE FOUND THAT THERE IS ALWAYS A WAY TO GET SONAR TO WORK THE WAY YOU WANT. Sometimes it requires a learning curve, sometimes it doesn't.
       Happy Sonaring,
           MJ