Mike,
The concept is simple: Look at VE Pro as multi-timbral virtual instrument (like Omnisphere, for example, or Kontakt). You will have to open _one_ instance of VE Pro and send data from _many_ MIDI-tracks into it.
I dont know how Sonar handles it, but the most comfortable way to achieve this is to have a virtual "Instrument Rack" inside the DAW, not an Instrument-Track with just on dedicated MIDI track assigned to it.
The main difference between VE Pro and conventional virtual instruments is that you will have to start the actual application externally in "Server Mode". Sonar will connect to this external VE Pro by means of the "Vienna Ensemble Pro" (or " Vienna Ensemble Pro Surround") plugin from your list of virtual instruments. The so-called Server Interface window will open. Select the Server (that's the application you started before from the list. Connect. Done.
All settings you make from now on will be saved directly with your Sonar-session, just like any other plugin or virtual instrument.
The good thing about VE Pro is that it can use its own memory space even when it's used on the same machine. Plus: You don't have to re-load all sample and all instruments when you switch projects.
It took me about twenty times as long to explain it then just doing it. :-)
HTH,
/Dietz
/Dietz - Vienna Symphonic Library