SPLAT: Just trying to record some stuff. What am I not doing?

Highlight Soft synths & Midi Tracks then choose "Bounce to Tracks"

If you're using virtual instruments to generate sounds from the MIDI tracks, then - like brandonc says - selecting the MIDI source tracks and the VI output tracks and hitting "Bounce to track(s)..." from the "Tracks" dropdown is the way to go (make sure that the entire length of the tracks to be bounced is selected).
 
On the off chance that you're using an external sound generator (for example, running the MIDI data to a keyboard or sound module), you'll need to connect the generator's output to your audio input and record it as audio.
 
EDIT: Ninja'd, but hope that at least the location of the bounce command helps. Also, you select tracks in Track View by Ctrl-clicking their numbers (will highlight).

Faza_TCM
If you're using virtual instruments to generate sounds from the MIDI tracks, then - like brandonc says - selecting the MIDI source tracks and the VI output tracks and hitting "Bounce to track(s)..." from the "Tracks" dropdown is the way to go (make sure that the entire length of the tracks to be bounced is selected).

 
I don't know from "MIDI source tracks" and "VI output". All I know is I have six tracks of MIDI data that I want to record as a .wav file. I did find the "Bounce to Tracks" command though and it returned an error, stating "The specified selection did not contain any audio data. Please ensure that the selection contains the audio date you wish to bounce."
 
Well duh. Of course it doesn't contain any audio data. That's what I'm trying to create. Or convert. Whatever.
 

On the off chance that you're using an external sound generator (for example, running the MIDI data to a keyboard or sound module), you'll need to connect the generator's output to your audio input and record it as audio.

Nope, but good to know because I have two midi instruments hooked up to my system, which will be used in future tunes.
 

EDIT: Ninja'd, but hope that at least the location of the bounce command helps. Also, you select tracks in Track View by Ctrl-clicking their numbers (will highlight).

This much I know how to do at least. Also the [shift] key works if you want to highlight everything at once.

A small simple explanation to help. Midi tracks are data only tracks. They dont produce audio (.wav) sounds. In order to produce sounds, midi data contained in midi tracks have to be sent to either a hardware external midi box (or midi keyboard) or sent to internal software instruments. You do this selecting the midi track and specifying in the output field of the midi track of the inspector where is the midi data sent (either a usb or midi cable if sent to external box or keyboard, or if it is sent to a software instrument track (for example a vst plug in) previously created). If you are using external midi boxes (or external keyboard) that listen to midi tracks, the external midi box is the one that produces the sounds, so you have to take the audio outputs of this external midi box and connect  it back to the audio line input of your computer to be able to record this sounds just as you would record any other sound in a computer. If you are not using a external hardware midi sound box, then you have to use software instruments to produce sounds. To do this you send the midi data of your midi track(s) to the software instrument(s) and those software instruments produce the sounds within your computer. In this case you dont have to use external cables but you have to use "bounce traks". How: you select the midi tracks you want to use and also select the software instruments tracks asociated that produce the sounds and choose bounce tracks. When you do this SPLAT will ask you in wich audio track you want to record the wav sounds produced. You have to create previously a empty audio track or specify new audio track.
 
Carlos

I'm not totally MIDI illiterate. In fact, I used to be something of an expert with it -- about 17 years ago, which was the last time I did much with my DAW. I've forgotten so much . . .
 
So I had the MIDI devices feeding into my soft synths and indicated as such with each track, no problem there. Turns out, the stumbling block I was running into was not highlighting the soft synths also when I tried to execute the "bounce" command. After I highlighted the soft synth tracks as well, I got audio. Yay! And thanks for answering a question I was wondering about, namely  did I need to have the individual tracks highlighted at all? Could I have just highlighted the soft synths and wound up with the same audio? So, I have to have everything highlighted. Good to know.
 
Got a related question for you. Because of some effects I have loaded, after the song hits its final note, the sounds don't end there -- they taper off for a couple of measures before the tune becomes truly silent. So I was trying to figure out an easy way to extend the measures of the song. Well I didn't find an easy way but I did find a way. In the window to the left that shows "Clip Track ProCh", when "Clip" is selected, one of the data points indicates the length of that track. So I just edited that number to end it where I wanted, then copied this to all the other tracks. Including the audio track. After doing this, I got the sound I wanted at the end of the piece.
 
EDIT: I found that I only needed to lengthen the audio track's length -- I didn't have to mess with the MIDI tracks.
 
So is that the best way to do this or is there another, quicker way?  I was looking for a way to set an "end" flag, but nothing was jumping out at me as a way to do it. Knowing Sonar, though, the command is nested away somewhere where you gotta know where to look to find it.
 

mwmcbroom - if you're just using soft synths, don't even bother with bouncing, just freeze the synth.
This will create the audio track(s)  for you.
 
If you want to change the Midi, just unfreeze, tweak, and freeze again.

In my signature is a link to my tutorial on using MIDI in Sonar I think it will help you sort this out. 

It is there,, it's a matter of finding the little line.  
Did you try Shift B? that is show hide buss pane.  
Roll your mouse pointer to the bottom of the Sonar window until you get a pointer icon the looks like a = with an arrow above and below. Left click and drag up. 
The other possibility is your graphics are out of wack and your not seeing the bottom of the Sonar window. 
 
But a bigger mystery is when you say it does not show in console view? For me it actually always plunks itself right in the middle. 
But it to can go off screen to the right and it's the same deal with the mouse pointer. 
The Buss Pane is a separate window from the track pane but the two are always connected.