What Scook said... if you have input echo on for your midi input and your related audio track and you do bounce to tracks for a region in the timeline and choose real time bounce, you can play your midi instrument and Sonar will record the output on the new track as you play it. The short coming is that you will not be permitted to adjust the synth within Sonar during the real time bounce down. You can play your synth to your hearts content and it will all get recorded.

Thanks everyone. A little counter intuitive but I got there in the end. Also for what I'm doing, the hi speed bounce option is going to save allot of time.
Cheers,
Bruce.