Ok let's start over because there is a lot of "noise" in this thread (no disrespect intended).
You're hooking up your mic correctly, XLR to the Focusrite is fine. You were right to discard the USB connection. If you did not install drivers for your Focusrite yet, go to their website and download the latest ones for your device. After installing them, go into Sonar, hit P to bring up the preferences and make sure the "driver mode" is set to ASIO and your Focusrite ASIO driver is selected. These settings, annoyingly, are in different tabs but you should find everything you need in the top few tabs.
This should make Sonar a lot more responsive, BUT, for recording live instruments, the feature you're really looking for is called "direct monitoring". Sound that you pass through Sonar will always have some delay. While it's possible to get it really low, that requires very good hardware and often a lot of fiddling. For this reason, most soundcards offer some form of "direct monitoring" - a hardware connection between the inputs and outputs. On your device, next to the main volume dial, there is a dial that sets the balance between playback (signal from Sonar, like your previously recorded music) and input (whatever you have plugged into the front inputs). If you want to record with no latency at all you use this dial and set it somewhere in the middle so you can hear both your mic and the playback from Sonar. In this case you TURN OFF input monitoring on your track in Sonar, because then you'd hear your voice twice (once from the input and once from Sonar with a slight delay).
The main drawback of this approach is that you can only hear the direct sound of your voice while you're recording, meaning without any effects you might want to put on it. Of course after it's recorded you can hear any fx you like. If you can live with that it is by far the easiest and most reliable solution.