There are two ways to implement lazy constraints for a MIP model. If the constraints can be enumerated upfront, simply set the Lazy attribute on the constraints that should be treated as lazy.
If the constraints must be generated during the MIP search, you need to write a callback function. Details can be found in the lazy functions of the Reference manual, and a TSP example can be found in the examples subdirectory.
There is no support for lazy constraints in continuous models (LP, QP, or SOCP). The only way to add a lazy constraint in a continuous model is to stop solving, add the new constraint, and start solving again.