When layering midi drum tracks, how do do I set the recording mode up so that each new layer is automatically "bounced" into the previous layer(s)?

Hi. Do you have sound on sound checked in Preferences, Project, Recording? If not, maybe try. And do you have store in single or separate tracks? That is what I could think of off the top of my head. Hope it helps. If not, others will hopefully come and help you along.
All the best.

Ah, yes, thanks! The "Sound On Sound" checkbox.
 

Hmmm, that did not work...
 

You can't do what I think you are attempting in Sonar.
 
In Sonar you have to bounce the Lanes/clips after the fact.
 
However Sound On Sound is indeed the option you want for a "MIDI Loop Recording" style workflow. It just does not automatically add the new pass to the original clip (as noted you have to bounce after recording).
 
You can simply close the Track's Lanes until you are done and pretend the Parent Track is a single clip. Then bounce.
 
Cheers.