Using Sonar 3. So, after I've laid all my tracks (without compression), what then? There are a couple of included compression FX. Do I apply those to all the tracks, and then export the audio with the compression applied? Or should I invest in something like the FMR VNC and stick that after the preamp in the recording chain for when I'm laying the tracks? I've read opinions elsewhere on this formum that compression during laying the tracks is best for if you really already know what you're doing (which is obviously not where I am, yet).
I don't think I would recommend the RNC unless you are having trouble recording at decent levels to begin with. This might happen with a uneven vocalist, or a cheap bass guitar, etc. The RNC could help get a more even signal, and this allow you to raise the recording level a bit. HOWEVER, remember that anything applied via the hardware recording chain will be printed to the track FOREVER. No going back.
More likely a better approach for you would be to use software compression on the already recorded tracks. AND ONLY ON THOSE THAT NEED IT. Sometimes you may have one track that has transient peaks that are causing clipping and limiting your overall mix volume. Look at the individual tracks for clues in the waveforms, and also look to see where your clip light is coming on. If you find you are clipping on the 2 beat of the 8th measure, take a look at the tracks at that sport to see what is going on. You might simply need to slap a volume envelope on one track at that spot.
After the above, then yes, you export the track WITH the compression. Do not apply it destructively. Use it realtime. It will be applied to the 2-track when you export.
Then finally, you will probably add some compression to the overall two-track as part of the final mastering of the song. If you don't have a mastering program, you probably want to import the 2-track back into a new Sonar project.
Cakewalk/Sonar does not supply much in the way of quality compression plugins. The exception (from what I hear) is the Sonitus stuff that came with Sonar Producer Edition.
You might want to invest in some quality software compressors, and you certainly want to start reading/learning about compression. This is where a lot of the "commercial" volume comes from (too much so in many people's minds).