I'm playing a part with a random sample and hold oscillator modifying the filter ... and I want to capture the performance so I can choose the best sounding parts.
My first thought was to do all this in Rapture's Microhost. Set the Cut 1 or Cut2 LFO to Random Unipolar or Bipolar, and record the performance with its internal Record WAV function.
Even if you're not using Rapture as a source synth, you can import the completed XYZ softsynth clip from Sonar (minus the S&H performance). Hold Middle C, process the clip through the filter LFO, and Record WAV.
Granted, this is outside Sonar, involves a .wav file export & import, and you won't have the benefit of playing alongside any other tracks. But it is an available option.