Audio files won't go into Projects/Audio folder

Look at Preferences>File>Audio Data, and near the bottom is a box you will want to make sure is checked,  It is called: Use Per-Project Audio Folders.
 
With that checked, any audio clips for each project will be placed automatically in a sub-folder to each project folder, so if your project is called Louie Louie, Sonar will create a sub-folder within the Louie Louie folder, called Audio.
 
Now, this is a different matter than where exported audio goes.  By default, when you export audio, such as your final mix or whatever, it goes to a global audio folder called C:\Cakewalk Content\Audio Library.
 
If you want to change that setting, which again is global and will affect storage location of all exported wave files and such, go to Preferences>File>Folder Locations, and you will see a path for Wave Files.
 
Many folks choose to run with Per-Project Audio Folders turned on, as it makes it SOOO easy to manage clips for a given project.
 
Hope that helps, 
 
Bob Bone
 

What you're seeing is normal for a project that was already created without per project audio folders enabled.
 
The only way to change the audio file location references to a per-project audio folder is either to open the project from its original location and Save As to a new project folder with "Copy all audio..." enabled, or do as you're doing now: open the already-moved project, and point to the missing audio with the Copy option enabled (or "Reference" if you've already moved the audio to the project's local Audio folder). The Save As method is the more conventional way of doing this.