With direct monitoring on, the interface will pass the signal directly to the output. Those signal(s) you do not want to hear from SONAR back at you, so not only do you want input echo off, but also mute those tracks in some cases. Check levels first, but SONAR WILL record an armed and muted track.

You may need to nudge the audio after the fact and/or adjust manual buffer offset, but try the above first.

The direct monitoring knob should adjust how much signal from the inputs is coming out, and may only go through headphones on some interfaces, so check the user manual on recommended usage.

I'm using a slow laptop and Edirol UA-4FX and direct monitoring works for me with most plug-ins. But you have to set the buffer correctly. Obviously not an ideal setup, but I'm using this until I get my new studio pc tower.

Ok, so I can hear myself over the direct monitoring input now which is great, (although it's not as loud as i'd like it but i'm fine with it). I've changed the asio buffering down to 144ms which is giving me a tighter feel to the monitoring too.
Now all I've got to do is find a bloody way to play acoustic guitar in total unison throughout a track to be able to double it effectively so it feels like a stereo track.