So you mean the drum module as the midi data or the drum sounds? It sounds like you want to trigger the drum module with sonar's midi data. and record it the module into Sonar.
So midi In and out, to and from your sound module. Normally you will use midi Channel 10 for drums.
Once you plug your midi interface in the module and back to the computer you will need to add the module to Sonar under Edit / Preferences / midi device. select the module's in and out.
You will need to run the audio outs from the drum module into an audio interface to audio tracks in Sonar.
So in Sonar you will have two track types Midi tracks for the midi data that go out on CH 10 into the module that triggers the module sounds that will play live as the data plays. You want to record the data onto an audio track that are set to the input audio from the module.
Well I hope that helps! :)