pages 92-93 of the manual
 
Transmit Channel & Transmit Track
The PSR-530 can simultaneously transmit data on all 16 MIDI channels. The
Transmit Channel and Transmit Track functions determine what PSR-530 data is
transmitted via which MIDI channels.
l Transmit Channel
The “Tr.Ch” function selects a MIDI channel to which a PSR-530 track can be
assigned via the Transmit Track function, below. First select a transmit channel,
then the transmit track for that channel. Different tracks can be assigned to each of
the 16 MIDI channels. Any of the standard MIDI channels - 1 through 16 — can
be specified.

Here is what I know about using Yamaha arranger keyboards with Sonar:
 
• Purchased songs generally do not send MIDI out through the ports.  It is a type of copy protection.
• You can, however, create a song using Yamaha styles--not the same as a purchased song--save the song to a USB stick, and then load that into Sonar.  This is good to know because if you try to use a simple patch command in Sonar, you won't get all the effects that are built into a Yamaha sound.  However, if you select the sound/patch from the keyboard and then save that song to a stick, when you load it into a sequencer like Sonar, you will get all the sysex and commands that call up the sound with all its effects.  I have sometimes created "songs" in the Tyros that are nothing but button pushes to call up sounds with DSP effects.
• When you use the keyboard with Sonar, you will proably need to turn LOCAL OFF on the keyboard before brining up Sonar or things will get wierd.  Conversely, to use the styles and create a song on the keyboard with LOCAL ON (normal mode), you should have Sonar off or disconnected—and you may need to reboot the keyboard.
 
This is other stuff than what you asked, but you may find it helpful.  I have a Tyros 2 that has an excellent set of sounds and I use it frequently.  I have also sketched out some songs using styles, loaded them into Sonar, and then made some good tracks by changing them around, adding other stuff, etc.

Wow....Great stuff everyone.  Thanks for all the input.  Sounds like it may be a challenge and I am not very good with MIDI since I really never use it for anything.  If I need keyboard parts for a song or track...piano, strings, pads, etc....I usually just play them on the keyboard and record it in Sonar as audio, not midi.  So this may be WAY more than I bargained for.

If you go through your functions of tab, you come to a screen that says rmote ctrl i believe and give you numbers 1-16. inorder to copy the information properly the 530 will have to be the master, sonar the slave with midi synch. make sure you have song out, and accomp out turned on.
 
Its been years since I turned on my 520 but I know this should work... had it in 94,