Hello there ! With an external mixer, I used to insert a compressor to level the input of voices (in particular with a singer that likes to sing quietly and loudly different parts of one same song). It doesn't matter how, my compressor broke. So I went to SONAR to use a software compressor. However I couldn't make it work as an external compressor because SONAR always record the dry signal. I couldn't find a feature like "Insert Inserts" (as "Insert FX" or "Insert Send"). I know that I can apply the compression to the dry signal after recording, but I still find useful to record the signal already compressed (you know, the quiet parts can be really quiet, and loud parts take me the level meter very high to the red section, clipping the wave). Is there any way to set SONAR for recording a compressed signal using an internal compressor ? Thanks !  

The only way to achieve this is by using external hardware.

Your best bet is to make sure you leave enough headroom while recording so that you NEVER clip the signal.

If you're using 24 bit (which you should be) then you have an enormous amount of headroom available. Get your singer to really belt out a loud section and adjust your mic preamp so that the peaks are no higher than about -9dB

Your tracks will thank you for it when you mix.

+1  to what BJ says.

When the signal has come through your soundcards A/D converter, it doesn't matter anymore if you compress, say, inside the soundcard or in SONAR, because anyway you'll have adjust the recording level in the input of the soundcard. That means, if you put the input level low enough so signal doesn't clip, but reaches peaks of -12 to - 6 dB, that level is good for recording, assuming the singers mic technique is any good. Compressing after that (but before SONAR) does not make the recorded audio any more usable than simply by putting the compressor in the FX bin.

OTOH, I have often used the compressor in my EMU 1820 interface for convenience. I guess anything's OK if you know what's happening, ie. don't have false expectations.