I've always input-monitored my hardware synths since PC's became capable of delivering decent audio latency. As per my previous post, this lets you monitor with VST FX among other things.
And in order to be able to both direct-monitor and record, you either need to be using the DM facility of your interface/virtual mixer, or physically splitting the output signal between your interface and your monitoring system with an external mixer or by some other physical means, right? Since SONAR doesn't support ASIO Direct Monitoring (i.e. automatically switching the interface mode for you when you enable input-monitoring in the DAW), this means that changing routing or monitoring modes requires some button pushing outside of SONAR.