Soundfonts are banks of sounds that you can load into the MIDI synth memory. If you're using a Creative Labs soundcard (for example the SB Live) you can load the soundfonts banks with the soundcard's built-in software. When you then play a MIDI track with n-Track the MIDI output will have the sounds of the soundfonts bank. You can also load more than one soundfont bank and switch between them with the bank setting on the MIDI track's property page.
Alternatively there are VST/DX instruments synths that support soundfonts.
See the Plugins page.
To decrease the delay between pressing a note and hearing it try lowering the buffering in the View/Settings/Buffering dialog box. Lower latencies can be obtained selecting WDM or Asio drivers in the Preferences/Wave devices dialog box.
The echo mode can also be set to 'auto'. When you do this the program will automatically select for the output of the MIDI notes played on the keyboard the MIDI output port (or VSTi) selected as the output for the MIDI track currently selected, so you'll be able to switch output simply clicking on different MIDI tracks.
More info on VST instruments can be found in the "Using the program/MIDI/VST instruments" n-Track online help topic.