Guitar Rig is an audio effect, and should be inserted into the FX bin on the track you are working with. You do not actually record the output of Guitar Rig into SONAR (this is actually nice, since the tone is not committed and you can change your mind later to something else). If you want to commit the sound into the wave file, insert GR into the FX bin with the sound you want and bounce to a new track (including track effects).
In essence, GR is "re-amping" the dry track every time you play it with GR "on" in the FX bin on that track.