This is the secret to setting up Cthulhu in Sonar. It's not hard! But don't tell anybody though. Somebody needs to keep making videos ...
1. Just add two simple instrument tracks: Your synth and Cthulhu.
2. Set your Keyboard controller as the MIDI input to Cthulhu.
3. Set Cthulhu as the MIDI input for your synth (Enable MIDI output should already be enabled in the Cthulhu VST settings).
4. Activate Input Echo = On for both tracks. Done!