sound IS laggy when you are using external MIDI, that's an unfortunate fact of life, but it shouldn't be too bad. you leave out important info though:
Are you using an actual external synth (shouldn't be too laggy) or are you trying to route MIDI to a VST? (which, depending on how you do it can be extremely laggy) if it's the second thing, make sure your extra sound card, or Audio loopback program (Jack, Soundflower, ASIO4All) is set to use ASIO drivers and not windows native drivers.
what you can ultimately do about it in your finished project is either adjust the timing of the MIDI notes using the ReGroove Mixer's slide function, or record the synth output as Audio and drag the waveform into place in the sequencer. I like to play in parts live on my keyboard, and I find that when I do that, and record as audio, my subconscious musician brain is adjusting the timing for me, and it's not too bad, but if you program your stuff, you will need to adjust the timing after the fact.
Third option, there is an RE coming out that will analyze the lag, and make adjustments to the other tracks