How to set up SAS as data source in Coldfusion?

SAS is not supported by coldfusion out of the box but you might be able to get something working with their JDBC drivers.

You can find them here - http://support.sas.com/documentation/onlinedoc/jdbc/

You can find documentation on how to setup the source in CF here:

https://helpx.adobe.com/coldfusion/configuring-administering/data-source-management-for-coldfusion.html

There are various sources for custom db datasource configurations on google - https://www.google.co.uk/webhp?q=coldfusion+configure+jdbc+drivers

You should be able to get an idea from these. I am not familiar with the SAS jdbc or connection strings etc so cannot advise there.

Pardon my ignorance, but what is SAS?

Does it offer either a JDBC or ODBC driver?