I can use my GR 33 and my GR 20. I go through the midi on my Audio interface and I go through the Midi on my Midi controller keyboard. look in preferences under midi click on devices. if your audio interface has midi it will be listed there. plug in to your audio interface and make sure it is checked marked in Preferences/Midi/devices

The only problem with the Alesis is it only has midi out which means it won't receive data from the gr 20. I agree that your best bet without spending any money is to use the 880 drum machine instead of the Alesis. 

It's not the money as the 1x1 is peanuts. 
(Hopefully it does not have too much latency.) I just thought it would be nice to include some of the gear I already have into the chain. 
I've never been able to make midi in Sonar with either the GR20 or the DR 880 -just audio.
 Now that I am committed to learning some MIDI, I didn't want to overlook the possibilities.

wait, so how are you connecting the dr880 midi to your computer?

Well I never have, directly. 
I have a Boss Roland BR800 digital recorder that I use as my sound card so I sent the audio directly thru the BR800 to Sonar audio tracks via the RCA jacks.
The BR800 does not have MIDI in out or thru unfortunately.
That's all I could figure out but it leaves me with a stereo drum track instead of midi so I'm limited for editing there.

Ah, so to send midi from/to the dr880 via usb you need to do this...

Switching the USB function

Before you connect the DR-880 to your

computer, you must specify whether the DR-880

will use USB for “SMF import/data backup/

recovery,” or “MIDI communication.”

1. With playback stopped, press [EDIT].

The edit menu screen appears.

2. Move the cursor to the “USB” icon and

press [ENTER].

The USB menu screen appears.

3. Move the cursor to the “MODE” icon and

press [ENTER].

The USB mode setting screen appears.

fig.09-010d

4. Use the VALUE dial to select the desired

USB function.

STORAGE:

Choose this if you want to import SMF data,

or back up/recover data.

MIDI:

Choose this if you want to transmit/receive

MIDI messages between the DR-880 and

your computer.

5. When you’ve made the setting, press

[EXIT].

The message “Now writing...” will appear,

and the USB function will be saved.

When the USB function have been saved, the

message will disappear.

6. Switch off the DR-880, then turn the power back on again.

Then, start sonar and the dr880 should show up in sonar midi device list. you can set up a midi track to send output to the unit, or send one to receive input from the unit's pads.

Woah, cool. thanks, I'm going to try this this evening.

Well well, cool as hell.
All this time I could have had midi drums all separated out.
This is going to be huge for me 'cause I'm pretty familiar with programming the 880 tracks.
Now what?
I have a midi track recorded from the DR 880 and it looks as if there are lots of data in different (channels?) on the track.
I also have an audio track but no sound.
Next, can someone tell a Nube how to get some sound from this track?
I must somehow link it to a drum synth inside Sonar ..or can I even use the samples from the DR880 as well?

right... just assign any synth (insert a simple instrument track with tts-1 and leave it on piano) and make sure track echo is on. then just hit the pads on the dr880. you'll see what i mean.

Woo hoo Drums and bass recorded when I hit play on the 880 and all the pads are coming thru.
thanks so much
I now have a few months of learning fun ahead 

awesome. glad to be of help. let us know when you get the gr20 going!