I use a 2408 and a 24io, and have a headphone mix that is sent to a separate headphone amp (a Samson). What I have set up:
1) Enable a pair of outputs in cuemix to feed the headphone amp.
2) Enable all inputs, in cuemix that you want to send directly to the outputs that feed the head phone amp. Understand though, that you have to control the mix for the inputs inside cuemix. For me, I use it to send the input of the instrument I plan to record, and raise the fader of the input to around -6, to keep it in front.
3) Create a bus for the headphone output with a pre-fader send off the master bus. Bring up the level of this bus so that its loud enough to sit behind the direct signal routed inside cuemix.
Remember, do not enable input echo for the recording track. IIRC, you can control the total output (direct signal + sonar mix) from inside sonar's console view using the mains faders.
The limitation of this set up is that you have to control the direct signal in cuemix. However, you get the benefit of near-zero latency.
If you need more detail in setting up cuemix, let me know, and I'll try to help as best I can.