scook's approach is pretty cool.

DDMF make a range of plugins that allow you to create virtual connection between audio streams inside and outside of programs that will let you do this. There is also a MIDI router which allows you to split a MIDI stream to multiple VSTis.

First of all: Many thanks for all Your answers and suggestions. In my view the only solutions is to use a loop-back-device. I can use this with my Focusrite Saffire Pro 40, but it also supports one (!) virtual adapter to do this.
 
The idea is and was to record several (8x2) virtual channels of my Native Instrumenst Maschine 2 directly into Sonar while performing live with the scenes. And that parallel to the other additional tracks running in Sonar. In my eyes this is the best and easiest way to transform audio from the Maschine world into Sonar. I need some more tracks (8x2) if I have to cut out some errors or do some fades and so on. 
I will give the Virtual Audio Cable a try and let You know how and if it works!
 
Thnaks again
 
moonbooter.de

Check this thread...http://forum.cakewalk.com/m/tm.aspx?m=2949348

 
 
SOLUTION
 
Hi, I played around with some ideas from this forum and I found some different solution. The third one is too complicate to use it daily, but it let You record a bunch of tracks simultaniously without any re-encoding or D/A-A/D conversion in 48/24.
 
Solution 1:
Use an integrated loopback device, if Your audiodevice supports this. In my case my Focusrite Saffire Pro 40 supports only one with 2 Channels, but other devices (ESI ESP.. maybe?) supports up to 8 and more channels for direct loop-back recording.
 
Solution 2:
Via hardwire: I route 4 stereo-outs from NI Maschine to the 8 ins of my adat-interface (Behringer ADA800), which are connected directly via wire to the 8 ins of the interface. Not the best solution (noise, latency), but easy to handle. Maybe it´s also possible to connect the adat-out with the adat-in via optical cable .. ? I don´t know.
 
Solution 3 (best but complicated):
I installed Virtual Audio Cable (VCA) Software Version 4.13 (!)
I created 9 virtual channels (set to 48kHz to 48kHz) in VCA
I installed ASIO4ALL and activate the 9 corresponding virtual devices as the main asio-device in Sonar X3
I added Maschine 2 (or any other plugin) as a VST in Sonar and set the groups/sounds to different External Outs 1-8 (or more if You need)
I use 8 Stereo-tracks with input Machine EXT-1, EXT-2,... EXT-8 and output the VCA outputs 1.1, 2.1, 3.1, ... to 8.1 in Sonar. This tracks has obviously no record-button.
I added 8 additional (!!) audiotracks using each of the 8 VCA channels 1.1, 2.1, 3.1, ... to 8.1 as input of the tracks.
I open 9 instances of the Audio Reaper and route channel 1 to 9, 2 to 9, 3 to 9, .... 8 to 9
I route channel 9 to the real hardware audiodevice (in my case the Saffire Pro 40) with the last (9th) instance of Audio Reaper). You need to do this because You need to listen to the sum of all tracks on Your real audiodevice! Don´t forget: Sonar is still working with ASIO using only VIRTUAL devices.
Now I arm the 8 additional tracks for recording, start record, perform on Machine and all 8 tracks (or up to 16) are recorded directly as waves into the 8 stereotracks. And this in realtime. There´s no gap in this recording on my system. If You have some, simply select all final tracks and drag them to zero-position.
 
I know that this last solution is complicated, but it works. For sure I wish Sonar would directly support such virtual channels or the opinion to records vst´s directly...
Hope this helps
 
Bernd
moonbooter.de
 
 
 
 

OMG... that Solution 3 is definitely worth a feature request!! And I thought I was having issues looping back just one thing.

This should definitely be a feature in Sonar. For the life of me I cannot imagine why it's not possible. The problem with scook's live input solution is that you cannot access the UI of the VST in question while you're doing it. There are times when you need to be able to click at things with the mouse while recording. For example, there's a Reaktor groovebox I use which has mute buttons on each track which cannot be automated. It would be nice to be able to bring elements in and out during the recording.

I submitted a feature request for this:
 
"Subject - Virtual Routing within SONAR
 
Two recent threads have been posted regarding capturing VSTi outputs into a track while recording. In my situation, I was doing a Z3TA+2 demonstration, and was unable to record tweaking Z3TA+2 while also recording a voice over track from within SONAR. My solution required a physical loopback cable on my interface (http://forum.cakewalk.com/FindPost/3002092). The similar thread included setting up even more loopback paths for Maschine 2 and the best solution was even more complicated than mine (http://forum.cakewalk.com/FindPost/3008758).
 
There are 3rd party virtual cabling tools available, but they are limited in functionality. Having this enabled inside of SONAR would be a much more powerful solution and add dynamics to the software. I have read several posts (specific to Maschine) where this feature being present within SONAR would be the solution.
 
Please consider this feature for future improvements to SONAR."

moonbooter
Solution 3 (best but complicated):
I installed Virtual Audio Cable (VCA) Software Version 4.13 (!)
I created 9 virtual channels (set to 48kHz to 48kHz) in VCA
I installed ASIO4ALL and activate the 9 corresponding virtual devices as the main asio-device in Sonar X3
 

Glad you got things working to your taste.  Why do you need ASIO4ALL?  You realise that it is not an ASIO driver, just a wrapper for some other driver type like WDM ?  It can't be used if you want true ASIO.
 

Just wanted to vouch for the Virtual Audio Cable solution-a simple audio track recording is just that: simple.
 
Nice find, Moonboater.