Fivel - I think your problem is that you are using "destructive" effects. What you want to do is use "realtime" effects.
When you are in Track View, at the bottom of the left pane you will see some tabs. Click the one labeled FX. Now go to the Track that you want to work with, and you should see a box labeled FX. Right Click in that box and you'll get a pop-up menu. Select Audio Effects from the menu and choose the effect you wish to work with (e.g., FxReverb).
The control panel for the effect should open up. Now click Play on your Transport control, and you should be able to fiddle with the faders on the effect to your l'il heart's content.
The reason you were not able to do this before is that with a "destructive effect" Sonar is actually applying the effect to the wave. So you choose your settings, and then when you click audition Sonar processes the wave with those settings. Since the wave has been processed with a specific set of conditions, you can't change them on the fly - you need to stop the playback, change your settings and reprocess the wave with the new settings.
Try the approach I outlined above, which actually is processing the wave on the fly. For the most part this is how you will want to deal with effects anyway. Applying them destructively doesn't allow you to change your mind later on. The only downside to using realtime effects is that they will consume more of your computer's processing power. If you have too many going at once, you may find you'll start getting dropouts.