make sure that in sonar you have the 'output' for the tracks you have recorded set to the delta outs that you are running into 13/14 or whichever you are using. and that the output drivers are enabled in the setup under the audio options.
on the mixer, make sure you have the "main mix" button depressed, which is right above the alt3/4 fader. otherwise, you will not be able to hear the mixer channels in the headphones.
by only using the aux sends to go to the computer, you are limiting yourself to two distinct tracks at a time. if you need to record that 3rd, (4th, etc.) simultaneously (can you overdub the third mic after the first two tracks are recorded?) then you will need to find another way to get to the delta. maybe you can use the insert jacks on the back of the mixer?? they are designed to both send and recieve signal - a compressor would be a common use. you should be able to use them as outputs. doing this will mean that you can't hear the signal at the mixer anymore, because it's not returning thru the insert jack. also, i'm not sure where in the signal path the insert is taken, but i would imagine it is pre e.q. and pre-fader(??) you would have to try it and see.
maybe one of your inputs could go straight into the delta, but not if they're mics, i suppose.
you could also use the alt3/4 outputs. any channel which is muted will be sent to the alt3/4 bus. so you could press mute on the third channel and use the pan pot to choose between the 3 and 4 outputs on the back of the mixer. be aware that any other channel which is muted will also be feeding into that bus, so if you need to silence some other inputs while you're recording that third mic, pull the faders down or unplug the inputs on the other things you need to mute.