It sounds to me like you don't understand that you can record your realtime performance, singing, scatting, voice over, etc. on to a new audio track in Sonar. You can what we call overdub or multitrack as many additional tracks as you want. Just right click on the empty space where you see your soft synths or drum machine track. You will get a prompt to add an audio or midi track. Add an audio track. You have to set up the in and out for your mic. Then you just hit record and your good to go. I see no mention of headphone monitoring. Be advised, you will hear the audio from your speakers being recorded at the same time in the background of your new audio track. You must have headphones to hear and make sure your speakers are cut down.
You can add as many tracks as you want. When you are finished you mix down ALL of the tracks in Sonar. When your done you will save or import the master wave file where ever you want. Or you can burn your project directly to a cd from Sonar.
You don't need Audacity at all. It is a huge waste of time doing so.
I would suggest doing some searches on the web about overdubbing and multi tracking first so you may better understand the process. I will watch for your posts here and if there is any way I can help let me know! Good luck, my friend! It is never easy changing an old workflow to a new but once you understand the power and capability you have in Sonar you will never turn back. JUST BE PATIENT!