The surround channels don't have much bass in them (at least, not normally), so it's no surprise that you aren't getting much with the way that it is connected.
At first, I was assuming that the sub had an amp built-in. Now, I'm thinking that it probably doesn't. Does it have an internal amp? If not, then one other option (and the best if you have the money or a spare receiver sitting around) is to get an integrated amplifier for it. You would run the line-level signal from the Sony receiver's subwoofer output jack to the amp, and then speaker wires from the amp to the sub. You would have to set up the volume on the amp initially, but then you wouldn't need to change it.
As one example of such an amp, there is this
Dayton amp from Parts Express (you might be able to get a better sub for that much money, though). You could also use another receiver if you have a spare. You just need an amplifier with a volume control.
