scook
It is a feature in X2. The preview button. located just to the right of the solo button, is only on Audio tracks which receive input from a plug-in and Busses.

 
Thanks scook and Alex.  I see it now and have figured out that it won't show on a simple intrument track (until spit) and only on the busses in the track view (which were hidden on my system).
 

As a separate question, do you need to perform audio specific operations on the Maschine parts? Because I've just been multi-outing Maschine so I have kick on one track, snare on the next, etc, allowing me to keep everything as midi. Currently I'm sequencing/recording in Sonar but using the Maschine hardware to browse kits/samples etc.
 
I know you want to see if you can get this specific thing to work, I'm just trying to figure out if there isn't a different workflow that might work even better for you.

Ok, well I think I'm doing something slightly different from what you mention but that might appeal to you;
I've set up a track template with all of Maschine's audio outs and eight midi tracks (channels 1 through 8). I've also premapped the pads to notes for each Maschine group (channels 1 through 8 are groups A through H). Then I have a Maschine template that I made with the editor that corresponds with those notes.
 
Basically this means my workflow is;
Find a kit using "normal" browsing from the hardware. Once I like it, route the kick, snare, etc to whichever individual out I like. That means I get them all separately in Sonar. Then I press shift+CTRL on the Maschine hardware to switch to regular midi mode, and in Sonar select the midi track corresponding to the group I want to record. Then simply record in Sonar as you would with any other softsynth.
 
While this takes a little setting up and definitely has a few quirks of its own I've found for me it's a much more logical workflow for linear sequencing (as opposed to Maschine's pattern based sequencing. What you do miss this way is being able to use note repeat during recording, but it's always still an option to record a pattern inside Maschine and then drag it onto one of the dedicated midi tracks.
 
Hope that helps. 

CakeAlexS
Sadly not. If I highlight the waveform, Right click on the track -> Freeze.
All options under here are greyed out except "Freeze options".
It's like it only exists in picture form, and not in sound.
 
http://www.cakewalk.com/Documentation/default.aspx?Doc=SONAR%20X3&Lang=EN&Req=Mixing.22.html

 
It's gotta be you ♫... 
 
Seriously, there's something fishy... it works here just fine. It has to be a synth track though. Yes, previews are picture only - but freeze is what actually produces a track with audio.

Thanks Noel... I definitely appreciate your comments...
Well I definitely would want to do it this way like the Ableton freaks can to be honest... I've thrown you a feature request yesterday I'll keep my fingers crossed  Choice is always good thing...
 
For Gene's benefit and other's here is a thread summary....
 
Add a dimension pro softsynth track and assign a sound. Now arm and mute it.
Add an audio track. Under input change it to Dimension Pro -> Primary Output Stereo
On the audio track click Waveform preview on.
Record and everything will work as you say, bouncing, freezing etc....
Now delete the MIDI clip you created on the first track, still see the audio waveform on the second track?
Good - try and play it back or freeze it etc :) - Won't - Cos it's just a meter.
 
Now the Dimension Pro will generate MIDI on the softsynth track when recording, Maschine will not as it's doing it's sequencing internally within the plugin and there are multiple outs, so to work around this we need to put in a dummy clip to con Sonar (?) into to recording.
 
However if Sonar could record the plug-in effect or synth output it would be a lot neater solution (no bouncing or freezing).
 
Cheers...

My is working perfectly fine tankyou. aven't you got someting better to do?
 
opeless  ;) Tey can never get a joke...

Yup we are in the same place right now :) Thanks!