As a classical guy this is what I USED TO DO: Compose in Finale, transfer MIDI to Sonar
This is what I DO NOW: Open two paralel viewports, one with notation on top, the other wit piano roll on the bottom. Both are set to the same tracks. That way, whatever I write in piano roll shows up as notation above.
The advantage here is that you can follow harmony and counterpoint while working relatively fast in piano roll.
The disadvantage is if you have more than a simple melodic line as Sonar writes some wacky notation to represent it. Also, if you play your lines , it has a hard time interpreting correctly into notation what you've just played, unless you quantize (even then the end of the notes is always problematic).
There you go - Now pick your POISON :)
I found writing in Finale first a waste of time. I'd rather be old school and use paper and pencil to sketch. That way I just input the notes once.