Depending on hardware, only rendering at export may be an option. It still may be a good idea to render all tracks as part of a project archiving strategy, the synth may be unavailable at some point in the future. So unless the project is never going to be revisited, when tracks are rendered to audio is a workflow choice.

Mr Pip, read the blog post I linked to, to make sure you are doing the necessary steps to get all possible audio output tracks available.
Secondly, although it takes several iterations, you can bounce each individual audio output to a new, separately rendered track by selecting each output, plus the MIDI "driver" track, in turn; and selecting bounce to tracks. Make sure you follow scook's advice and chose the "source category" of "Tracks".

I forgot to mention, in addition to setting the "Source Category" to Tracks make sure the "Channel Format" is set to Mono in the "Bounce to Track(s)" dialog.

Thank you all for your help!  I tend to bounce to audio fairly in the recording process as I only have 4 GB of RAM and like as few plugin synths as possible if they're no longer necessary.  Yes, I know I need more RAM...
 
Stickman, that is a helpful blog post for sure!  I had read that before trying all this out, and had my settings just as Dan recommended.  His post doesn't have anything to do with rendering the audio to the tracks created when you insert AD, however.  But I did re-read it to make sure I'm getting all the audio tracks I should be getting.  Thanks for the link!
 
Scook, your suggestions did the trick.  I had already selected the output down arrows in AD, but hadn't changed "Source Category" or "Channel Format" from their defaults.  I now have each kit piece's audio rendered to it's own track.  Sonar actually created 16 NEW audio tracks to render to; I expected it to automatically render to the audio tracks created when I inserted AD (which are actually Simple Instrument tracks and not audio tracks, according to the track icon).  It appears I can accomplish that using the Destination track dropdown, but maybe I want the new tracks? 
 
Couple other observations:  1) No big deal, but I didn't have the option to undo the bounce.  In the past, when I bounce a single synth MIDI track to it's own audio track, I could always undo.
                                         2)  The sound I get from AD BEFORE selecting the output arrows compared to AFTER is a night and day difference.  Clearly the compression and eq-ing that AD performs is not sent to the audio tracks in Sonar.  The sound from the Sonar tracks is dull and lifeless, whereas in AD (before selecting the arrows) it is full and punchy.  Is this to be expected? 
 
Thanks again, everyone!
 
 

Bounce does create new audio tracks. Freeze will create the audio in the existing tracks.
 
Undo should work, try typing Ctrl-Z. I did notice a name problem with the undo level in the menu. When first displayed, it read "Undo Paste" but was altered to the correct "Undo Mixdown" when displaying the menu a second time. Either way, the immediate undo level should roll back the new audio tracks.
 
I do not use AD but any synth should sound the same after bounce as before except for variation purposefully introduced by the synth.

After I've written my midi track, I use a cal file to split each note to it's own midi track. I find it easier and get more control over the individual drum pieces this way. You can edit midi information much easier this way rather than every piece on the same midi track.

scook
 
I do not use AD but any synth should sound the same after bounce as before except for variation purposefully introduced by the synth.

That has usually been my experience.  However, the sound from AD changes the instant I select the output button at the bottom of the AD channel strip, BEFORE I render it to audio.  It seems like as soon as the audio is sent to Sonar, it bypasses the internal AD compression and eq.  Can anyone who uses AD confirm?
 
BTW Scook, I marked your above responses as helpful.  Even though you don't use AD, you've really helped me understand some things better here, and I appreciate it!

You mean when you change the output from going to AD's master output to its individual out in Sonar?
Sounds like there are some fx on AD's master bus (compression and EQ, likely).