If you are listening to your input via Sonar's "input echo" you can have any effect on it you like. There is a significant caveat though - you'll need to be able to bring down latency enough for you to comfortably play without getting an annoying delay between playing and hearing the sound. This requires a low audio buffer setting in Sonar's audio preferences (or your soundcard's configuration panel) and that in turn requires a fast cpu and a quality driver for your soundcard.
In addition, it sounds like you are using some kind of direct monitoring option from your soundcard, which is why you're hearing the dry signal when you play. This has the benefit of being direct, meaning no latency, but obviously you will have to turn this off if you want to hear the effected signal.
What soundcard are you using? Does it come with a mixer app? With a hardware input/playback balance knob?