First of all, there may only be one or two effects that are responsible for the latency. SONAR compensates for these so that all the audio lines up correctly. If you bypass only these effects, the rest can remain. Typically, these are effects with long "look-ahead" times. The Waves Maximizers, Cakewalk TS-64 transient shaper, and other dynamics processors typically exhibit this behavior. Bypass these, or replace them temporarily with equivalents that don't have look ahead.
Second, if all else fails, bounce your tracks to create a premix and play to that. Then you can bypass all your effects while you lay down your part.