Basics... MIDI is simply "note data" without sound. In order to get sound, you either need to insert a soft synth or route it through an external synth (which seems to be what you are doing).
In your case, you would need to send the MIDI to the external synth, but loop an audio cable (
not MIDI), back from this synth into an audio track in SONAR (either an audio out or even a headphone out). If you play the MIDI track, you can arm/record that audio "loopback" into SONAR as a wav file. This would be a "real-time" process as there is no shortcut to speed up an external "render." This recording can then be mixed for export.
I am not sure if I understand your situation correctly, so please reply back if I missed the mark there.
Welcome to the forums btw!