You will need a "virtual MIDI cable" to connect Sundog to Cakewalk Sonar.
macOS: Please follow the guide here: http://feelyoursound.com/setup-midi-os-x/
Windows: Please follow the guide here: http://feelyoursound.com/setup-midi-windows/
Basically you set the MIDI Out of Sundog to the virtual MIDI cable, and the MIDI In of Sonar to the virtual MIDI cable as well (check the preferences in both programs).
Then you have to "arm" the tracks of Sonar. Please take a look at this image:
Box 1: You have to set the Sonar tracks to different MIDI channels, so that each instrument will respond to separate MIDI note events. In this example the current track will only listen to channel 3.
Box 2: You will need to set the blue buttons of all channels to the "always on" symbol to receive MIDI signals permanently.
Important: I highly recommend to set all instrument numbers inside Sundog to "Off" if you work with synth plug-ins! This way the plug-ins will always stay on the preset that you chose inside the DAW and not change their sounds from time to time.
Please make sure that you don't create a nasty feedback loop with your MIDI connections. Sonar should not send MIDI notes back to Sundog! Otherwise it might happen that these notes will trigger Sundog to instantly send new notes to Sonar as well, and the whole circle starts again.
If you want to use an external MIDI keyboard with your setup you should keep these things in mind:
1) Set Sundog's MIDI In to your external MIDI keyboard
2) Don't use your external MIDI keyboard as an input device in Sonar
Reason: If you use the keyboard in both Sundog and your DAW you will get multiple MIDI note events in your DAW as soon as you press a key. One time from the keyboard itself, the other time when Sundog sends its notes.
I hope this small guide was useful! If you have further questions (or found an error) you can contact me here.