I'm with Alchuck. I thought it was just those effects that begin with "FX" in the Sonar effects list (e.g., FX Reverb, FX Limiter). I know those are the only ones you can automate, but I think the same applies to using them while recording (have yet to actually try this, though).
PS - I think Sonar uses the term "real time" to designate using effects non-destructively (which you can do with all of them). Not sure if they have a term for using them while recording.