I want to connect my guitar to SONAR and take advantage of all the amps and effects . Am i right in thinking all i need to do is connect my guitar to my audio interface input . And then my guitar amp to the Output of the audio interface   ?
 
Then create a new audio track - add the amp/effect and enable input echo on that track , And then i will hear that effect through my amp and be able to record exactly what i hear through the amp  ?
 
 

More or less yes. But you'll need to set your audio interface buffer as low as you dare to avoid hearing your systems round trip latency. Not all audio interfaces are capable of low RTL. 
 
Also your recorded track will not include the sound of your amp which for most of us is the most important component in a good guitar tone. You might as well use your studio monitors for the playback as that will be what the recorded track will sound like anyway. 
 
To include your amps tone you mike it up or use it's DI output if it includes a speaker emulated output like some do.
You would use this as your guitar input source instead of plugging in directly. Plugging in directly can result in a very thin tone with some interfaces. Using an amp is the way a guitar was meant to be used.  But some interfaces have pretty good instrument inputs that seem to work OK for Amp Sims. 
You then have the option of recording the Amp dry and adding the effects after or hooking it up as your have done and miking the amp and record that to a new audio track. This is called Re Amping.  But that track will need to be nudged in time to compensate for the latency if you do this live. If you record a dry guitar track and then re- amp there should be no latency. 
It can work live with top shelf audio interfaces like RME. 

danbottomburp
And then i will hear that effect through my amp and be able to record exactly what i hear through the amp  ?
 

You will hear what you play ( select Input Echo ) but not record it. After your audio is recorded then you do what is called bounce to track or freeze, which will then process the recorded audio with the effect.

It sounds like you need to do some of the basic tutorials that come with Sonar. When the program is open press F1 which will bring up a screen listing numerous tutorials to do. All the best.