How did you insert the soft synths - as Simple Instrument Tracks or separate MIDI and audio tracks? If the latter, is the level meter of the audio track moving? If not, the inputs/outputs of the tracks are wrong. Basicly, if you use the "Insert>Soft synth" dialogue all the tracks and routing are done automatically for you. Is your audio recording/playback working? Do you have "Input echo" on?
Make sure you have only the Fast Track selected for SONAR in "Preferences" and use it's ASIO drivers.