I get a lot of delay between the live and the monitored signal but that may be just my set-up
This is referred to as "latency" and it is one of the key things to get right with any daw system
When you sing or play in to a mic (or play a plugged in instrument) the sound has to go through the audio interface, get converted from analogue to digital, go through the daw/computer, get processed, go back to the audio interface and get converted back from digital to analogue so you can hear it in headphones or on speakers
The time it takes the sound (or rather the signal) to make this journey is referred to as the "round trip latency"
Direct monitoring is a good, simple, way to overcome this problem but often you want to hear the effects/processing of the DAW - eg if you are using an amp sim to record an electric guitar plugged in to your interface
The key steps to reducing latency are:
Get a good audio interface with good drivers - ideally ASIO drivers (I would avoid "Asio4all", which is a generic driver that "fakes" an ASIO driver as it can cause all sorts of problems by just being installed!
Check your "audio buffer" settings - this is usually a slider that will give low numbers (96, 128, 256) where you will get a lower latency BUT this will put more strain on your system (especially CPU) so you may hear crackles and pops in the audio, experience "audio dropouts" or your daw may just refuse to play
In this case you can increase your audio buffer (eg over 1000) which will take the strain off of your system but the latency is likely to be too high to play along to
Finding a good balance is the key
The more plugins you use the more strain you put on your system so you may have to increase the audio buffer if you add lots of effects to stop the pops and crackles etc.
A good rule of thumb is to do your RECORDING with the minimum amount of plugins so you can keep your audio buffers (and therefore latency) as low as possible
When everything has been recorded latency doesn't matter at all as you are not playing anything live so everything gets delayed by the same amount (there might just be a bit of a delay between hitting play and your track starting)
This is where you can increase your audio buffer and take the strain off of your system as you add plugins during the mixing stage
One final common culprit for latency issues...
Some plugins use a "look ahead" feature or are really cpu heavy so even with a top of the range system with the best drivers these plugins will make the system behave with high latency
Common types are convolution reverbs and mastering tools like multi and compressors