Steve Lacy has spent his life playing jazz "wrong." His instrument has always been the soprano sax. Thirty-odd years ago, when he was the only modern-jazz soprano player, his horn's high, reedy sound was usually the province of snake charmers; in recent years it's become the favorite horn of cooing fusion-music oafs. In this era of dazzling virtuosos, he deals in simple materials--the shapes of his phrases are prebebop, premodern. His innate sense of solo development leads to the most logical--surreally logical--unified structures, sometimes incorporating (in the most natural way) whistling, growling, chirping, and quacking. As it did with his onetime master, pianist Thelonious Monk, time has proved Lacy's "wrong" way to be uniquely right: he's a major figure in jazz and an inspiration to other free-jazz artists. This time he's bringing his own sextet to Chicago (their only previous gig here was 12 years ago), with expressionist cellist-violinist-singer Irene Aebi, romantic alto-soprano saxophonist Steve Potts, pianist Bobby Few, bassist J.J. Avenel, and ingenious drummer John Betsch. Their two shows are a benefit for the jazz Institute of Chicago. Tonight, 9 and 11:30 PM, Cubby Bear, 1059 W. Addison; 327-1662, 477-7469, or 427-1676.