Sonar is designed as a "recording" program and not really optimized for performance. Sonar's EFX's were meant to be used in recording, not as a real time processor.
As the boys have said, trying to use Sonar's EFX in real time is very tricky. You need ultra low Round Trip Latency or you will hear the delay that each stage of processing adds to the signal path. Very few systems are good enough for this.
Instead:
Learn to use Sonar to enhance your MIDI backing tracks. I am a solo performer and this is one of my prime uses of Sonar. There is almost no limits to how much you can make a boring MIDI track come alive.
When you are satisfied with the arrangement, tempo and sounds then export the song to a WAVE file ( 44.1/ 16 )
Now go buy yourself a little 4 channel mixer with built in EFX or a TC voice processor and play your backing tracks using Win Amp or any Media player.