You are using the internal sounds on an external hardware synth?
I'm pretty sure in that scenario you are going to have to print the sound to an audio track and then use an audio pitch shifting tool to fine tune it (like Melodyne or the Sonar DSP tuning thingie).
You could do this on a temporary basis as you work (like let's say you want to get it in your desired pitch while you track other instruments) by recording the audio output of the synth into a new track then applying the pitch correction, muting the original tracks and then continueing to work.
If you need to make adjustments to the the actual MIDI of the performance just revert back to the original (and scrap your scratch audio version) then do it again.
Of course as you work you will have to suffer through the off pitch output of the hardware synth as you play/write.
To avoid THAT though if it is too distracting is you could do an audio bounce/export of EVERYTHING ELSE in the project into a stereo wave that would go into a new track then pitch adjust that audio to match the tuning of the external synth. Record your part to that.
Then mute the pitch adjusted export track (and unmute the original tracks) and then bounce to audio your newly created external synth parts to audio and tune it to the project material.
I do think it's pretty odd a hardware synth of any quality would be outputting out of tune audio.
Maybe Sonar's tuning base is off? I don't know much about that stuff so I'll defer to the smarter dudes/dusdette's on that.
Cheers.