If Sonar 'sees' a midi/USB port, and it is checked in Sonar Preferences, all is well, UNLESS you happen to have two completely identical midi devices (and even there it may just be the brand/model I happened to buy two of).
About six months ago, I bought two identical midi controllers, to expand my performance rig for a Genesis tribute project, and Sonar and Pro Tools, as well as Brainspawn's Forte, all had problems dealing with midi routing to the 2nd of the two identical midi controllers.
Both Sonar and Pro Tools detected the devices, but any midi data was only processed by a single controller, so I ended up having to swap out the 2nd controller for some other brand/model.
SO - other than that, and as noted in other posts above, have a blast - connecting any of your available midi/USB ports.
Bob Bone