Right. Once you have it set up, you shouldn't change anything while still using SONAR. You can change the ASIO buffers while mixing if your song contains lots of software synthesizers and/or dozens of tracks and the computer is struggling to process everything quickly enough, but that isn't always necessary.
If you have the BOSS set up as playback device and it's not on or plugged in, the computer and SONAR 'see' that and won't play... because there is no playback device.
You can't save the song as an mp3 within SONAR, but you may be able to Export it as an mp3. Click File>Export and see what options are available to you.
Otherwise, use an after-market mp3 converter. Many are free.
I use Windows Media Player to convert, but not everyone's WMP can do that.