I can't tell if you are getting recorded MIDI CC data confused with DAW automation. In the case of the former, you just record your controller knob (or whatever) movements just like note/key data. Record it on the same track (with record-merge enabled) or record it on a different track that gets sent to the same synth (easier in some DAWs than in SONAR, the last time I looked at SONAR).
It the case of automation, set things up to record automation (it's in the SONAR documentation - haven't done it myself in several years). In this case, it's not MIDI data you're recording but something that the DAW handles more or less automatically provided you have the correct automation record/playback options turned on.
In either case, you may go back later and edit/modify the recorded controller info. But how you do that is different for MIDI and automation.