Thanks, but what I want is to hear the previous pass(es) as I record.  In other words, use it as a looper.  I would have thought that such a simple capability would be available.

is it for Audio or midi or both ? <- Its important.
This may have been specified but I didn't see it in the OP.

Geoffrey
Thanks, but what I want is to hear the previous pass(es) as I record.  In other words, use it as a looper.  I would have thought that such a simple capability would be available.

Oh, them un-select Comping and just select Sound on Sound
 
Select these options:
 
Sound on Sound
Store Takes Lanes in Separate Tracks
Create New Lanes on Overlap
New Take Lanes on Top
Do not Group Tracks
 
Once this is configured, I save the project and then close and re-open the project. (May not be needed, but that's just me.)
 
I select the desired loop points. 
I insert my Soft Synth
Arm the track and begin playing the synth.
On each loop pass, I only hear the part that I an playing and the previous parts played are in take lanes.

OP: This is for audio.  My goal is to play an instrument live, loop it and pick up another layer and/or instrument.  In other words, use sonar as a looper.  As I indicated, I can't figure out how to get the previous loop(s) to play back immediately without stopping and restarting sonar.  

PS: Selecting sound-on-sound does NOT work.  I still have to stop and restart to here loop 1, otherwise I hear only what I am recording (loop 2) without loop 1.  I tried autopunch with "mute previous tracks" deselected as well; still no luck.  I have tried just about every permutation of options in the recording dialogue box.  Perhaps there is something I need to set elsewhere?  
 

Ya its not working here either (Sound on sound/with Audio/with looping enabled).
So you are correct, cant hear previous takes with Sound on sound when looping is enabled.

Well, glad to know that it is confirmed.  I'll call them and see what they say.

There is no phone support my friend.
Loop recording in sonar isn't per say like a looping pedal. It for making multiple takes for individual passes.

SONAR isn't designed for live performance-style looping. However TH3 has a looper, and while I haven't tried the following, you may be able to set it up in an Aux bus. Then when you want a specific instrument to feed it, turn up that track's Aux Send and loop it within TH3.
 
I can't think of any DAWs offhand that does live looping by itself. Ableton Live started including a Looper plug-in around version 7 or 8, so you might want to take a cue from them - I think the plug-in approach (e.g., the free Mobius one mentioned earlier) is probably your best bet.
 
I've done looping in SONAR without recording per see by feeding a plug-in delay's output set for a long delay time back into SONAR using the external insert. However then you have the usual old-school looping problem of what happens when there's not enough signal to feed back any more.

Anderton
I've done looping in SONAR without recording per see by feeding a plug-in delay's output set for a long delay time back into SONAR using the external insert. However then you have the usual old-school looping problem of what happens when there's not enough signal to feed back any more.

This is the workaround I've suggested in the past, but it's not necessary to use External Insert if the delay plugin has Feedback setting as most do, and if you set it to 100%, the level shouldn't decay.
 
http://forum.cakewalk.com/FindPost/3471262
 
- Insert a delay capable of very long delay intervals in the audio track, and set the delay equal to the loop length.
- Set the Feedback to 100% with a 50/50 Wet/Dry mix. 
- Enable new layers (now lanes) on overlap, and record away.
- Each new loop will be repeated endlessly by the delay, but each recorded layer will contain only what you played on that pass.
- Use a keybinding to stop the audio engine after stopping the transport to kill the delay feedback.