You should not have to save the instrument setups in the plugin. Sonar will save all of your instruments and settings with the song. Make sure you just save the song after making changes. The next time you start the song, Sonar should load all instances with all your settings.
I would recommend using the VST version which is what I use. The DXi version has a nasty tempo change bug which screws up note lengths. Sonar 3 comes with the VST adapter. Install the VST version of GPO and then run the VST adapter without Sonar running. After adding the VST, then start Sonar. The VST\'s are found under the DXi plugins but in the VST section at the bottom of the list. This may resolve your issue.