Hi Toledoo1,
I know exactly what you're talking about. I mix through an external device as well (mine's an SSL but the process is the same). There are some DAW's that let you print fx on a track as you record to them (PT with an aux and Studio One come to mind here), but Sonar isn't one of them. Fortunately that's not a big deal and it only requires a few extra seconds (and is probably better anyway). Here's what I do:
Route your stems to the summing device (SSL/2-bus/whatever) and then back to an input on your audio I/O, create a track whose input is that stereo pair and enable input monitoring. That track then is the only track that feeds your monitors. That is the important part...the only track that is feeding your monitors must be that track. Name it "Print" or something. When input monitoring is enabled on that "Print" track you'll then hear whatever is coming into that track as well as any FX on that track, so this is where your 2-bus (or Master bus if you prefer) FX go.
Once you have everything mixed to your liking you'll need to record the signal coming into your "Print" track, just like you would with any other track. Now, you're not quite done because your 2-bus fx in the bin of your "Print" track aren't printed to your mixdown. to do that just bounce that track. Usually I just bounce to a new track and name it according to my filenaming convention...something like "AwesomeSong-1.6-mixdown-08-26-2014a". Then I'll put each of those mixdown tracks into a track folder called "MIXDOWNS" that is muted or archived.
In my setup the routing looks like this:
Tracks get bussed to stem busses (vox, drums, fx etc).
Stem busses get sent to RME Outputs 1-16
RME Outputs 1-16 -> SSL inputs 1-16 (In your case this is your Dangerous box...this is where they are summed and then potentially routed through other hardware)
SSL outputs 1-2 -> RME Inputs 47/48
RME inputs 47/48 -> Audio track in Sonar called "Print"
Sonar "Print" track with FX on it (saturation, Ozone, a "talent" button, whatever) -> speakers (or a bus with ARC/room eq on it that goes to speakers). THIS IS THE ONLY THING THAT FEEDS MY SPEAKERS!
When done, bounce the print track to mixdown tracks or export (only that track) to a wave file on your hard drive.
Let me know if you have questions and I'll try to help out.
Dean