You can wire everything by hand, or you can let the "Insert Synth Options" dialog handle the Audio+MIDI track creation for you. It is easier to let SONAR do it for you when you insert the synth, especially when just starting with this type of setup. Then all you need to do is add the drum map after SONAR has setup the synth.
In the latter case you are probably using a Simple Instrument Track. If that is the case, click the MIDI tab in the inspector and the MIDI output can be set in the bottom of the strip on the left.