Why is Sulfur Oxide (SO) a covalent bond?

Covalent bonds form mainly between two or more nonmetals. This happens through the sharing of electrons. Any gas molecule made with entirely nonmetals, such as $C {O}_{2}$, $C {H}_{4}$, $S {O}_{2}$, $N {O}_{2}$,... are all held together by covalent bonds.
Sulfur and oxygen are both nonmetals due to their position on the periodic table, and so sulfur monoxide or $S O$ would just be held by covalent bonding.