Adding Effects to Real-Time Recording Playback for Vocals

Hey All,
 
I am hoping to get the hang of Cakewalk studios and really start learning this program. I make hip hop music and I only do vocals, my band mate does all the music. I have Sonar Platinum that comes with Melodyne, Rapture, and Dimension Pro. I have a nice new computer that I got off this guy for cheap and I just got a new audio interface last week- Behringer U-Phoria UMC204HD which I absolutely love even more than the Scarlett 2i2 I had before.
 
Right now when I have Sonar Platinum open and I am talking into the mic I can hear myself back through the headphones and it is very plain and dry. I would like to kind of add some effects to how I sound in the playback. I am trying to figure out if I can do that. Like reverb for instance or delay. Can I add those effects so that its coming back through my headphones as I record?
 
If so, can somebody take me through the steps on I exactly I do that? Lay it out as though I've never had Platinum like it would say in an instructions manual. Or even if you know the correct how-to video for this specifically.
 
As of right now, I selected reverb from the FX logo on the audio track I plan to use but I think that might just add the effects after when I listen to the recording, not while its being recorded.
 
Any Help? I appreciate it greatly. Thanks!

As Greg said, turn on " Input Echo" (next to the REC button in the track).
EDIT:
I misunderstood your question (as usual) so I wrote out this long winded comment about FX. Enjoy
There is a difference between something that's recorded Destructively and Non Destructively.
Destructive Recording: An FX that is embedded in to the track.
Anything you add to the FX bin (that box in the track for adding FX) will not be recorded destructively.
 
So in other words, if you go to that FX and hover over it, there is a power on/off button to temp disable the FX.
After you record the track just disable the FX to hear the original dry track.
 
Unless you add FX to a clip or bounce it, its not permanent/destructive.

It sounds like you have direct monitoring enabled on your sound card. So you are hearing your voice direct from the sound card as opposed to monitoring from Sonar. You should disable direct monitoring on the sound card and enable input echo on your vocal track. You may have to reduce the asio buffer on the sound card to reduce latency to a reasonable level else you will hear your voice delayed. Then you should hear your voice via Sonar including any effects you added.