Cactus Music
There's probably no reason to use the keyboard anyways. 

Well, that's a matter of opinion of course.

Recording hardware MIDI controlled instruments isn't really that much harder, if any, than recording a soft synth or any "physical" instrument such as a guitar while monitoring it through the DAW.

As I understand things from what's been said so far the issue here appears to be audio latency caused by the use of an unsuitable sound card - the PC's built-in audio - which can't process the audio quickly enough to get a workable amount of latency. The WASAPI driver might fix that if one's available on the system, ASIO4ALL might fix it, though that can be complicated to get working and doesn't work for everyone and every PC.

The best option would appear to be an inexpensive but good audio interface and a bit of reading up on how MIDI works.

stxx
What are you using as interface??  If you are trying to monitor through sonar and not the interface's mixer, latency woill likely be an issue.   Unless youre using thunderbolt.

Thunderbolt can reduce latency by maybe a millisecond or two, but that's about it. The better USB2/3 interfaces can hit sub-5ms round-trip latency easily so long as the PC isn't working too hard and Thunderbolt might reduce that to 4ms. In real world terms round trip latency under 10ms (the equivalent of your guitar amp being 10 feet from you) is usually good enough.

There's always going to be latency where analogue->digital or digital->analogue conversion is concerned because the chips need time to do their stuff. Things get a bit more complicated when MIDI controlled hardware is involved because the hardware needs time to respond to the MIDI, and if it's a digital synth then that has its own convertors and the latency they introduce as well.

More latency can come from a synth having a greater than zero minimum attack time on the amplitude envelope to avoid loud clicks as the volume shifts from zero to more than zero in less time than a cycle of the oscillators, though that affects software synths as much as it does hardware. It's the same sort of issue you get when shortening an audio clip without making sure the resulting clip starts at a sample level of zero.

None of which is insurmountable, but Thunderbolt interfaces offer at best only a tiny improvement in latency, which may well not be noticeable.

I think we can all agree that using an outboard hardware synth is more complicated than triggering a VST. 
 
I myself still have 2 Korg hardware synths plus my trusty Roland 505 patched in to my set up. I also can record the audio from my Yamaha DTX drums. This involves various midi and audio cables plus channel assignments and setting parameters in the hardware so it will all work together when needed. 
 
I use these devices less and less all the time simply because 1- There are better sounds in my VST collection, 2- it's complicated! 
I just plain refuse to get ride of it because it was a huge investment at the time to purchase all that hardware and I just cannot toss it out! Besides, every once in a while I know exactly where to go to find that big fat analog synth sound I need. Or use the drum machine to start a song rolling. 
 
It took me years to make the switch to using VST's from hardware because I was to lazy to figure things out. So now I will always encourage newbies to take the time to figure out how to use VST's as this I believe is by far the main reason to use a DAW for creating music if your all by yourself. 
 

I still have a Roland A-33 midi controller (full keyboard with no audio output, just midi output).  In a lot of ways that piece is really handy.  It ends problems that can pop up with both a VST and a keyboard voicing midi.

If there's a voice in my "real" keyboard I want to use, I can always play the midi file back through that voice and capture it in an audio track.  It's also interesting to record multiple audio tracks with different patches from a single midi track and hear how each voice sounds in a mix.  I've put keyboard lines into a "Vocal Ooh's" voice with outstanding results.
 

Yes... Lots of good ideas and thoughts here...
 
One I think you might look at if you already haven't was mentioned by Wookiee on the previous page...
 
Have you checked you local on/off setting on the hardware keyboard?
 
That's what came to mind for me too...
 
 

The problem that brought me here was a latency issue.  That was resolved by inserting a VST into my project.  Now I've started on learning how to sue the VST.
 
I'm running into the same thing that has frustrated me every step of trying to use Sonar.  The first thing I found was from a Cakewalk site.  "Step 1:  In your Browser, click the Synth tab"  I import a Midi file - no Browser.  I open a .wrk file - No browser.  I open a .cwp file - No Browser.  I create a new project - there's the browser, but there's no Synth tab.
 
So I select a track, use Insert->Synth from the menu.  That works, but the VST does nothing to the track.  I've tried a bass synth, a piano synth, and a synthesizer synth.  I have discovered how to add a VST track that apparently uses whatever patch is assigned to it from the VST, but I've not found how I can change the patch in the track.  I can't even find a patch selection when I use the TTS-1 GM patch.
 
I've spent about two hours on trying to figure out how to use VST's and don't have much to show for it.  I found a tutorial about recording a Sonar song start to finish.  I'm 15 minutes into part 2.  So far the "instructor:" has hit about a dozen computer keyboard keys to display or hide the things he wants to look at and he's managed to have a really bad drum line that has an incredibly mechanical sound.  And that video is more informative than the ones I find on Cakewalk pages.
 
Trying to learn Sonar has made me feel like I'm just an idiot.  the stuff from Cakewalk is so far over my head I can't even figure out what questions to ask.  Everything I'm finding seems to be aimed at studio engineers.  When I have to Google two words in every sentence I read, I tend to stop reading.

MerlinSuderman
The problem that brought me here was a latency issue.  That was resolved by inserting a VST into my project.  Now I've started on learning how to sue the VST.
 
I'm running into the same thing that has frustrated me every step of trying to use Sonar.  The first thing I found was from a Cakewalk site.  "Step 1:  In your Browser, click the Synth tab"  I import a Midi file - no Browser.  I open a .wrk file - No browser.  I open a .cwp file - No Browser.  I create a new project - there's the browser, but there's no Synth tab.
 
So I select a track, use Insert->Synth from the menu.  That works, but the VST does nothing to the track.  I've tried a bass synth, a piano synth, and a synthesizer synth.  I have discovered how to add a VST track that apparently uses whatever patch is assigned to it from the VST, but I've not found how I can change the patch in the track.  I can't even find a patch selection when I use the TTS-1 GM patch.
 
I've spent about two hours on trying to figure out how to use VST's and don't have much to show for it.  I found a tutorial about recording a Sonar song start to finish.  I'm 15 minutes into part 2.  So far the "instructor:" has hit about a dozen computer keyboard keys to display or hide the things he wants to look at and he's managed to have a really bad drum line that has an incredibly mechanical sound.  And that video is more informative than the ones I find on Cakewalk pages.
 
Trying to learn Sonar has made me feel like I'm just an idiot.  the stuff from Cakewalk is so far over my head I can't even figure out what questions to ask.  Everything I'm finding seems to be aimed at studio engineers.  When I have to Google two words in every sentence I read, I tend to stop reading.

If you press B it will open up a browser to the right of the screen, this will have tabs for synths, fxs, audio etc.

Also Alt+9 will bring up the synth rack which can also be used to add, remove vsts although the add synth button on the left below the control bar will do the same thing.

For the OP, there was a 9 hour tutorial set done by Karl Rose (fastbikerboy in the forums here) during the SONAR X2 days that is still 90% applicable to SONAR as it exists today. That was made free to everyone and posted to YouTube a few years ago. Karl does a stellar job of walking through options as he goes.
 
The YouTube set does not have a Chapter listing, but that can be found in this post on Steam (use this as your guide for the video set). The actual video set (called "SWA Complete SONAR X2") can be found here (50 Chapters total).
 
For you, Chapters 19 and 20 (MIDI Synths) are good ones to look at. Karl works at inserting TTS-1 in the beginning of Chapter 19 and goes from there.
 
Please do not feel discouraged, and do not hesitate to post here. We have ALL suffered the learning curve. Sometimes it is as simple as finding the proper term to research, other times is more of a walk-through required; but this community is one of the best there is, so please ask as needed.
 

Thanks, mettel, for the video links.  From my experience it takes many times longer than the videos to work through them and understand the points.  That's a lot of hours.  
 
I may have to make decisions between working on music and working on learning Sonar.  I've already gotten other recording software that doesn't have nearly the capabilities of Sonar, but I can start using it almost immediately.

Work through the tutorials in the documentation. Tutorial #4 covers the OP,