I am using Sonar 7 with a Saffire Pro 40.
 
I have some outboard synths I'm trying to run/record through Sonar.  
 
I can do the following:
Create a MIDI track that outputs to the synth.
Create an audio track that takes the input from my interface.
I can record the audio, and play it back.
 
What I can't do:
Hear the audio when I play the midi track, or while recording.
 
There's got to be some obvious easy way to do this, right?  If I create a set of tracks using one of Sonar's virtual instruments I can do this no problem.
 
My apologies for asking a question that has probably been asked in various versions a million times before.

If your outboard synth audio via your audio interface is set to be the input of an audio track in Sonar which you are using it to record, the "input echo" button on that Sonar audio track should send the audio to the mains. 

Awesome!  That's it.  Thanks (like I said, it was probably an embarrassingly easy answer).
 
Also, nice username. :)