Are there any particular Shakespeare sonnets that illustrate/relate to the main themes of King Lear ?
Wow! Excellent question!
It depends what you think the main themes of Lear are, but I'd point you in the direction of Sonnet 119. I can see several of the themes of "King Lear" reflected in the subject matter of the sonnet, and of course, the whole sonnet meditates on the nature of romantice love (the philosopher and critic Stanley Cavell thinks that "King Lear" is also all about love!).
For example, you might find in the sonnet's mention of mystical potions and "Siren's tears" a reflection of Gloucester's superstitious astrological beliefs in the eclipse and the portents in the sky.
Obviously, the nature of a madness which visits itself on the victim and then vanishes, leaving him unaware of it, is significant for Lear himself:
What wretched errors hath my heart committed,
Whilst it hath thought itself so blessed never!
And - this is the best bit! - there's even a mention of eyes pulled out of their sockets, a clear link with Gloucester's blinding:
How have mine eyes out of their spheres been fitted,
In the distraction of this madding fever!
If you're thinking about "King Lear" in relation to sex and madness, Sonnet 129 is the place to go, but Sonnet 140 also thinks about madness and its nature:
For, if I should despair, I should grow mad,
And in my madness might speak ill of thee;
Now this ill-wresting world is grown so bad,
Mad slanderers by mad ears believed be.