Dealing with External MIDI Instrument Latency?

You can use the 'Timing Offset (msec)' under Audio > Sync and Caching in Preferences to delay audio playback slightly vs. MIDI sent to hardware ports. MIDI driven soft synths are handled like audio tracks, and won't be delayed. This offset works by effectively shifting the audio timeline against the MIDI timeline = both on playback, and recording - so the timing of a hardware synth will be corrected on recording the audio as well as on playback of live MIDI.
 
But be aware that this offset will also affect recording of MIDI vs. the audio metronome. You'll be listening to a delayed click (and existing audio tracks) as you perform, so the MIDI will lay down later in the MBT timeline. The larger the offset, the more this will work against you.
 
Rather than dealing with all these complications, my preference is just to get MIDI and audio latency as low as possible and not worry about a few milliseconds sync error that is generally undetectable.

With hardware synths, assuming if you're using track echo to monitor the synth so you can e.g. hear effects working on it while recording, MIDI latency can be down to how long it takes the synth itself to convert MIDI to audio.

Some are really snappy, others less so and some digital ones vary depending on the patch or if they're being used in a multitimbral mode. The snappiness or otherwise of the synth's envelope attack can also be a factor.

To make things worse, every synth tends to have a slightly different response time. Daisy-chaining MIDI gear means each synth down the chain gets a slightly delayed MIDI feed compared to the one upstream of it and some MIDI interfaces can add a little latency of their own as well. MIDI being a serial protocol this kind of thing is unavoidable. There's also the issue of how stable the MIDI clock controlling everything is as well, DAWs tend not to be 100% solid in that regard and the clock they send can and generally does drift by tiny fractions of a beat. Which again can cause discrepancies between the visual location of MIDI commands in the sequencer and the resulting recorded audio

If you've only one synth and the MIDI to audio offset is consistent then the global setting can be used to correct for it. If (like me) you use several hardware synths then nudging the audio over if the offset is an audible issue is the way to go. Personally I find that so long as things are within 3 or 4 milliseconds it's usually not worth bothering about, no human player's going to be any more accurate than that and a little timing discrepancy between tracks helps make things a bit less robotic.

Another option, especially if dealing with sounds with obvious transients and a fast attack, is to use audio quantising such as audiosnap on the recorded audio, but it's often quicker to just nudge the data to where it "should" be.

Or get rid of the problem by using hardware sequencers and voltage-control rather than MIDI, but they come with entertaining habits and limitations of their own and you still need a rock-solid MIDI source clock or there will still be some drift.

I usually just put midi tracks a bit early(negative ticks) on the tracks, and save this as a track template.
 
Since value is in ticks in Sonar as I recall, it is tempodependent since there are often 960 ticks/quarternote - which is a pity(maybe this is changed in the last year or so).
 
But you can use a plugin that reports a delay to host(like Sonar) which makes host delay other audio by that amount, making you synth earlier. There is a free one from Voxengo and Metaplugin also allow to set a delay value manually for the plugin. 
 
Just try out a render situation and record and try a different ticks setting until satisfied with that audio aligns.
 
Cubase, ProTools and others allow millisecond setting which is better in that sense - works on any tempo.
Many daws(Cubase, ProTools, Samplitude) also allow to define external instruments and that definition takes care of all audio adjustments every time you use it.