You will need a "virtual MIDI cable" to connect Sundog to Studio One.
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 Studio One to the virtual MIDI cable as well. Check the preferences in both programs.
See the example for Studio One on macOS below: You can reach this dialog by clicking "Preferences -> External Devices -> Add..". Click on "New Keyboard" and set the "Receive from" to your virtual MIDI cable. "MIDI channels" should be set to "All" (this is the default). It is very important to check "Split Channels" - otherwise Studio One would not let you choose between different input channels later on.
Then you have to "arm" the tracks of Studio One. Please take a look at this image for Studio One 3 (this is similar in Studio One 4):
Box 1 (Studio One 3): You have to set the Studio One tracks to different MIDI channels, so that each instrument will respond to separate MIDI note events. You will have to open the Inspector (click the "i" icon or press F4) for that.
Box 2 (Studio One 3): You need to activate all the small recording markers by clicking on them. This way you can arm multiple tracks at once. Only armed tracks will respond to the channels that you have set in Box 1 before.
In Studio One 2 it's a bit different:
Box 1 (Studio One 2): You have to set the Studio One tracks to different MIDI channels, so that each instrument will respond to separate MIDI note events.
Box 2 (Studio One 2): You need to Cmd-Click (Mac) / Ctrl-Click (Windows) the small recording markers. This way you can arm multiple tracks at once. Only armed tracks will respond to the channels that you have set in Box 1 before.
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. Studio One should not send MIDI notes back to Sundog! Otherwise it might happen that these notes will trigger Sundog to instantly send new notes to Studio One 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 Studio One
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.