There are many options for recording midi.  Take the time to read the documentation on Sonar, as there is so much to learn about this Daw Software.
 
Sonar Documentation will help a lot, please see Insert Soft Synth options
Check out "Instrument Routing in Sonar" 

To me it's always been pretty straight forward. As Bitflipper says-  A midi track is a midi track and an audio track is an audio track, Tossing a 3rd option just confuses the issue. 
 
You have a track of midi data and that goes to a soft synth. You can change which soft synth till the cows come home or duplicate the midi 100 times and send it to 100 soft synths etc. 
 

Thank you Jesse for those links.  I had read through the Insert Soft Synth Options, but the Instrument Routing In Sonar was especially helpful.
 
So, if I understand correctly.  To do this right (or what is suggested here):
 
1.  I would create a Midi track
2.  I would then create a simple instrument track for a VSTi, and use this as a routing destination from the Midi?

Actually you insert a MIDI track to record or create your data that will drive the soft synth. 
 
You then insert a soft synth and you can choose single or multi outputs. You do not have to choose the instrument track at all. I never do. 
Then you point the midi tracks output at the soft synth. done. 
To me the beauty of doing it this way means I can insert a few different soft synths and then try them on the fly by changing the midi tracks output as the song is playing. 
 

I still must be missing something.  I insert a synth into the synth rack, and if I choose one of the audio outputs, it automatically creates a track.  How is that different than simply creating an instrument track?

husker
1.  I would create a Midi track
2.  I would then create a simple instrument track for a VSTi, and use this as a routing destination from the Midi?

This is not the usual way of using SONAR.
 
When creating a MIDI track it is customary to create audio tracks for the synth output. This may be done at the same time when using the "Insert Soft Synth Options" dialog or clicking the "Split Instrument Track" option in the advanced section of the Instrument tab of the Add Track dialog.
 
When using an instrument track, the MIDI is usually recorded in the instrument track. This is because an instrument track is actually two tracks in one. The input side of the MIDI track and the output side of the audio track are exposed in an instrument track.

This isn't the only way to do it, but my usual method is to open the browser window and select a synth, e.g. Kontakt, from there by dragging it over into a blank space in the Track View.
 
SONAR then pops up an options dialog. Un-check "Simple Instrument Track", and check both "MIDI Source" and "First Synth Audio Output". (Once you've (un)checked these options, SONAR will remember your preferences from then on, so all you'll have to do is click OK every time you add a synth to a project.) At this point, you have loaded the synth and created associated MIDI and audio tracks with just two mouse clicks.
 
If you subsequently decide to layer a second synth using the same MIDI data, right click on the existing MIDI track and select "Clone Track". In that dialog, check both "Clone Events" and "Link to Original Clip". This will create a slave track that will take its MIDI input from the original MIDI track. Then insert the second synth - but you only need to create an audio track for it, since you'll be routing the newly-created MIDI slave track to its input.

I guess I am trying to determine what I "should" be doing.  I have been creating simple instrument tracks, and that has worked, but I guess I'm supposed to do something different.  Either I'm getting conflicting information here, or I am overwhelmingly confused.  Probably the latter.
 
I start with a blank project with no tracks.  Then I do this?
 
Insert a softsynth with the following options:  Midi Source, Synth Track Folder, and First Synth Audio Output.
 
Is that correct?

husker
I guess I am trying to determine what I "should" be doing.  I have been creating simple instrument tracks, and that has worked, but I guess I'm supposed to do something different.  Either I'm getting conflicting information here, or I am overwhelmingly confused.  Probably the latter.
 
I start with a blank project with no tracks.  Then I do this?
 
Insert a softsynth with the following options:  Midi Source, Synth Track Folder, and First Synth Audio Output.
 
Is that correct?

You can put MIDI into a Simple Instrument Track (SIT). You do not have to use separate MIDI and Audio tracks.
If SIT works for you, use them until you need more advanced routing(s).
All the best.

Bit, I think we posted at the same time.  I think I understand now what I should be doing, now I just need to understand how this is better than just a simple instrument track.
 
I think I just need to stop for awhile and do something else.  :)  My problem is that I want to understand everything, right now.  That simply isn't the case with DAWs.