Well, this is gonna sound silly.  Been using Cakewalk for many years, but never a power user and never using soft synths.  Always used hardware synths through M-Audio Delta 44 and M-Audio 4x4 midi interface.  Took a few years off, got rid of much of my old equipment and now that I am trying to start recording again (music for film) I'm stumped.
 
Now using X1 with an M-Audio M-Track, Evolution MK-461C Controller and only soft synths now.  Silly problem:  can't figure out how to record the soft synths!  I can open the synths in a track and hear them just fine, but when I arm an audio track and record 8 measures (for example) the resulting clip is only about 5 measures long, produces sped up gibberish sound is at a super low volume.
 
Can't figure it out.  Have I set the In/out incorrectly on the track?  Is there a setting I am missing?  What gives?  Help!
 
Todd

May want to run through tutorial #4 in the Getting Started section of the Help menu. This may help you understand how to work with soft synths in SONAR.

Yes you'll want to read the instructions as there is a lot to know and would take to long to type it all. 
 
But just for starters, you don't record a soft synth, you record MIDI data and the midi data triggers the soft synth just like it does a hardware synth. 
So insert a midi track, set the input to your controller, and set it's output to the soft synth. 
When your ready, arm the midi track and hit the big R. 
 
When you export your song the audio output of the soft synth is included in the mix.