You are not recording audio when you lay down the MIDI.  In the case of an external synth, the MIDI triggers the keyboard or module to play the sound which then comes back into your audio interface as audio to be recorded.  In the case of a soft synth, it is similar, except the MIDI is triggering the software in your computer to generate the sound on the fly.
 
In either case, you can make a CD or MP3 without recording the audio, freezing, or bouncing, if you check the option to Include Live Input when you are exporting the audio.  I like to record all the audio at some point, though, to relieve CPU strain but mainly to ensure I still have the music if the hardware or software synth breaks.
 

Thanks for all the great info.  I might have indicated that I had referenced Sonar Power 3 but it was actually 2.  I just e-mailed Scott and he said he is currently working on the updated book.  Sorry for any confusion on that. 
 
 

> is she dead now, I can't think of her name, nannette Newman?
 
Oh she is very alive !

good for her :-)

So - just another bit of info.  If you have a number of midi tracks that are assigned to VST Instruments, it can be a bit of a pain to bounce or freeze each to get the audio and if you decide to change anything after that process, you will have to go back to the original midi/vst, make your changes, then go through the process of bouncing/freezing again. 
 
If your system is able to keep up with all of them running at once, you can get your mix right and then just do an Export audio, making sure to select that you want a stereo output (what you hear) and selecting all of the tracks you want to have in the mix (probably all of them).  This effectively does the same thing without the interim step of having to bounce or freeze each track independently.  There are plenty of reasons to bounce or freeze, but if all you are trying to do is get a stereo audio wav that you can burn to disk/mp3 and you like the way it all sounds within Sonar, then just export the mix and you should have the result you are wanting.
 
Hope that helps.

+1 Blades
 
One other point which needs to be stressed here - if/when you do decide to do an export from CD or Mp3, you MUST make sure that all of your individual tracks/busses are pointed to your master bus. Sonar does not create a master bus for you (unless you've got it setup in a template that you use) so make sure you do this before exporting.
 
Tracks > Busses
Busses > Master Buss
Master Buss > Main Outs (Soundcard/interface)

Thanks Blades and Bristol.  Bristol, I think you meant "if/when you decid to do an export to CD"  I get what you mean.  This is all very useful information that I didn't find anywhere all in one place.   
 
Thanks again. 

For hassle free export, create a master bus if it doesn't already exist.
 
Route every track to a bus and every bus to the master.
 
When you export, only export 'buses' and select just the master...works every time.

Shambler
For hassle free export, create a master bus if it doesn't already exist.
 
Route every track to a bus and every bus to the master.
 
When you export, only export 'buses' and select just the master...works every time.

Its the way I do it.