A quick tip that helped me understand compression. To visualize how a compressor works in real time, in track view, enable the master track waveform visualization and enlarge it vertically so it's about the same height as the track with the compressor on it. Solo the compressed track, hit play, mess around with the compressor controls, and you can immediately see how the compressor controls affect the waveform. Zoom in horizontally for more detail.

I will have to try this, as I always use a Master Track Wave Form. I never thought to look for that, and am not sure I completely understand...LOL.
 
I would love to see a visual representation of what is happening when I use compression. So I will check this out.
 
Thanks

Looks like you edited your post, because the email notification has you asking for a step by step guide how to enable it. Did you figure it out? If not, check out this to see how to turn on the waveform preview:
http://www.cakewalk.com/Documentation?product=SONAR%20X2&language=3&help=Mixing.22.html
 
I'll try to clarify it a little more..  
1. Create a project with one track and import a wav file on it.
2. Display the master bus in track view and turn on the waveform preview.
3. Make the height of the track and master bus the same size (as large as possible for the best view).
4. Play the song. The waveforms in the track and the master bus preview should look the same.
5. Insert a compressor on the track.
6. Play around with the compressor. The track still shows the original waveform and the master preview shows how the compressor is modifying it.
 

I am not so sure viewing waveforms is going to help you so much.  I tend to err on the side of listening and hearing especially when it comes to compressors.  Is the waveform going to show you what damage may be happening to leading edge transients if the Attack setting is too fast.  And I bet it won't help that much either if the release settings are wrong too.
 
Generally waveforms after compression will have higher rms values and the peaks should be tamed a little but I think that is something we all know anyway.  Just a thought.
 
What would be more interesting and useful maybe is using the null approach to test out how what your compressor action is like when it does kick in and go out etc.  As per this:
 
http://forum.cakewalk.com/How-to-test-your-compressor-plugins-Which-one-is-really-best-m2282782.aspx
 
 

Yes, I figured it out after I posted...sorry.