I'll just say this.  If I wear TWO headsets (yeah, sounds strange), I can hear the background track from my speakers on one set.  Using  the 2nd headset I can hear the input from the mic (recording a sax solo to be more precise).
Make sense now?  I just want to use one headset. 

Well that's the thing... you've got the tracks being outputted to two different places (still not sure how... I'm not familiar with the equipment you have mentioned). What you want is Sonar to output everything to ONE device that feeds you monitors. Basically you need an audio interface (ideal) or figure out how to send sound out through your computer's onboard soundcard (not ideal).
 
Otherwise I guess if you have a mixer you could send the two separate signals you currently have feeding your two separate sets of headphones to two of the mixer's channels then listen through the mixer's headphone outputs. Just make sure it's a LINE level signal, not something coming from a power amp, or you might blow something. Turn down the monitors while you are recording so you are recording the monitor output through your sax mic.
 
 

Just curious... on the tracks, what does it say they are outputting to? On the Master Bus, what does it say it is outputting to?
 
Use File > Save As before screwing around with the outputs in Sonar though so at least you can get back to whatever you are currently using.
 

Ok, I'll need some time to work on it tonight and THANK YOU so much for your input. :)

So far, I think the problem may be the play controls.  In a different program
USING THE HEADSET FROM THE SPEAKERS (I'm not yelling, I'm just making this message clear to myself (lol), I muted aux and line in and another in the record control I clicked "mic in".  I seems to be recording only from the mic.  I don't know why it's working using a different program, but I'll try later to see if it works using Sonar as well. 
 
It took me four hours (just today alone) to figure this out.  I think it's masochism. :)

I don't have a ton of time to spend on this, but maybe this will help.
 
Since you have a mixer at your disposal, getting in touch with how it works will help you get this all working.  as mentioned by others, you need to get everything going to one place and then disseminating the signal out from there to where it needs to go.
 
Here's what I see you doing (do all of this with the volume on everything turns WAY DOWN as there are chances for feedback until you get everything setup right):
 
1.  Connect your sound card to inputs 1 and 2 on the Mackie.
2.  Connect your monitors to the Main Outs 1/2 on the top right of the Mackie
3.  Connect your headphones to the Phones jack on the top right of the Mackie
4.  Connect the audio output of your midi keyboard to input 3/4 on the Mackie
5.  Connect the Aux 1 Out from the Mackie to the Input on your soundcard
 
To hear the mains, turn up the main outs on the Mackie (and make sure that inputs 1/2 have enough signal from your sound card)
To hear the headphones, turn up the headphones on the Mackie
To hear the keyboard, use the volume on Input 3/4 on the Mackie
To adjust the record volume of your mic, on the channel where the mic is plugged in, adjust the AUX 1 Send knob.  Do not turn up the volume to the main volume while the monitors are turned up here or you will get feedback.  Also, do not ever turn up the AUX 1 send on the channels where the sound card outputs are plugged into the Mackie.
 
See what this gets you.  Please be careful about the feedback thing and be very methodical about all of this.  Your mileage may vary as I don't know the specifics of the routing within the Mackie - so you might have to mess with things a bit to get them to work right.
 
The point here is that the Mackie then becomes the central control point for both your record and playback.
 
Hope this helps.  Gotta go - maybe someone else can chime in on this idea.

Thanks, Blades, I copied this and will be working on it later.  You wrote a lot so thank you and Beepster for taking the time to help.  MUCH appreciated!  MUCH!

<p>Thanks, Blades, I copied this and will be working on it later.&nbsp; You wrote a lot so thank you and Beepster for taking the time to help.&nbsp; MUCH appreciated!&nbsp; MUCH!</p>