Though you are playing/sending midi data into your computer the soft instruments are producing audio waves... that's all I got.... 

There are two sources of latency, the buffers used by the audio interface and plug-in delay compensation. In practice, you may need to record the MIDI tracks early in the project and/or freeze and bounce tracks in order to keep the interface settings as fast as possible. It also depends on the interface and how well the hardware can keep up with the load.

One more question. How do I set midi input echo to Auto Thru? or is that exclusive to when I create a midi instrument track?

DragonBloodOne more question. How do I set midi input echo to Auto Thru? or is that exclusive to when I create a midi instrument track?

Input Echo is one of the buttons on the track view screen (ie - Mute, Solo, Pan, Volume, Input Echo). More about that here.
 
I'm not sure what you mean by "Auto Thru". Are you looking to pass MIDI straight out of your DAW into something like my NanoSynth (or a stage piano, or similar)? If so, I can't remember if you actually need to toggle the "Input Echo" switch or not. But if you want to send MIDI data out to a keyboard that has its own sounds, then you make that change in the same track view area as the mute/solo/etc. Simply select your MIDI output destination (on the MIDI track) from the "output" dropdown menu. So you'd either be sending your MIDI into the softsynth for full-blown processing in Sonar, or out through your MIDI interface into a keyboard or any other MIDI device that has its own sounds.
 
Unless I am completely misunderstanding your question :)

Did you answer wich interface you are using?