Recording 'what you hear' in Sonar 8 Producer Edition through Roland Gaia

Hi guys
 
Please forgive my ignorance, but I am trying to record some audio into Sonar 8 Producer Edition via my Roland Gaia USB audio interface but it doesn't seem to work. I can record audio from the Gaia itself while playing it, but I can't record what I hear through my speakers when watching a movie or playing a VST instrument through the Gaia. I am using Windows 7.
 
Is it possible to record audio being played through the Gaia USB interface directly into Sonar? If I connect a cable from the Phones socket on the Gaia to the Ext In socket on the Gaia then it works and I can record whatever is being played through the Gaia, but I cannot listen to it as it is being recorded because the headphone socket overrides the output.
 
I hope that makes some sort of sense. Please help me!
 
Thank you
Steeps