How do you save a Superior Drummer setup?

Save it as a track template :)

That's a chuckle but surely that's not the only way!?

>I truly haven't tried it any other way...sorry.
Probably because (like me) you couldn't find any other way. The kit you're currently using is not displayed anywhere that I can find so if you forget which one you chose, you have to go through them all in the hope of finding it again.
 
When choosing kits, your current selection is checked in the menu, but that check mark disappears after you've saved the file and the name isn't displayed anywhere. Saving as a template will work for me. Thanks!

Good thing about saving as track template (if you're using individual outs for each drum) is that it'll also save all your panning and volume settings as well as any pro channel settings. It can save you a lot of time.

I was going to complain at you for not reading the manual, then I read the manual and saw that it doesn't mention presets anywhere. Bizarre.
 
Anyway, as Scook says, you want the Load/Save button at the top centre. I don't know what the Save Project / Load Project setting does - I use the Combined Preset menu and choose 'Save As...'. It'll ask what aspects of the kit you want to save, and you probably just want to click the 'All' button at the top left. When you click okay you'll be prompted for a name - and afterwards, that name will appear in the Load/Save > Combined Preset > User Presets list.
 
The downside of using a preset is that it won't preserve your routing within Sonar. The upside of using a preset is that you can take it into other DAWs if you need. Track templates are an option if you're sure you'll only need to use it with Sonar but to be frank I've found that track templates have too many bugs to be something I'd recommend using.

I can't say I have noticed any problems with track templates.

Projects vs Presets:
 
This is from EZ Drummer 2 and I think it is the same idea for SD2:
 
SAVING/OPENING A PROJECTSaving a project saves everything in one go. Any changes you have made to the LibraryPreset and any arrangement/editing made in the Song Track will be saved with the project.To save a project, you can use standard procedure “Save” or “Save As” from the File menu(standalone only), or you can use the main menu in the top right corner.

I'm not at my DAW but I believe that Scook and Kylotyn are correct.  I use the Load/Save button at the top center to save the entire kit.  It gives you the option to name each saved kit.  This also saves any mixer/FX settings inside of S2 that you may have.  True, it's not very well documented.
 
HTH