X3 audio file separated from projects

Yes, You always need to check the box that say's "Save audio with project"  or be using "per Project" folders when you first "save as"  for a new project. Otherwise the audio will go to the global audio folder.
In your case you probably used the same project ( or template? ) to start the new project and without checking that Save audio box the audio would go to that last projects audio folder.
 
I've had that happen a long time ago before I figured this all out. 
What you can do is copy all the adio from the other folder to the new projects audio folder. 
Open the song and it should all be there and in the correct place on the timeline. 
 
Now to clean it up perform a "save as"to a new folder location and only the audio you want will be copied over. Just make sure you check that box! 
 

You should be able to search for them when you open the cwp file in Sonar. Once you have the files loaded be sure you have per project file folders and save the project to a new folder. 

John
You should be able to search for them when you open the cwp file in Sonar. Once you have the files loaded be sure you have per project file folders and save the project to a new folder. 

Searching when I opened the CWP was the first thing I tried. I got an error message, "file not found" skip, rinse and repeat -- wherever it looked for them, it couldn't find them.
I had to use the computer's search function to find their location.
 
Now, in the project folder, the 'audio' folders for those 2 projects, which were empty yesterday contain the audio files again. They are still missing from a couple of early versions of the songs but that isn't really an issue.
 
Maybe my sound card didn't recognize them prior to the recent firmware update?
Related thread: http://forum.cakewalk.com/Sonar-X3-suddenly-died-Help-solved-m3543321.aspx

Got nothing to do with audio cards. 
 
FYI- I have never lost a file in a long, long time since I adapted to a system that is more or less bullet proof. Many users here do something similar. Sonar's default system leaves a lot to be desired. First, the per project option is not the default ( unless they finally changed it) but for me that option is of no concern because I always store stuff in my own folders I create.  And then you need to make sure to change the file pathways in preferences to point Sonar to our data drives. So with the default you will have everything in a big mess in the audio folder deeply hidden on C drive. Your projects will all work until the day your hard drive dies. And with SSD drives we don't want audio on C drive. 
 
My system: 
After I install Sonar I change the file pathways for both Projects and Audio in preferences to the Studio data drive ( E) 
My Studio data drive's root directory is a bunch of folders named to reflect what is in them: 
CWP - Backing tracks
CWP- Original songs
CWP- Sock Monkey Band
CWP- Clients Name 
MIDI files
Wave- Backing Tracks
Wave Original Songa
Wave- Sock MOnkey
Wave-Clients Name
MP3- Backing Tracks 
Mp3- Original Songs etc  
 
In each of the CWP folders is a folder for each song. 
In those folder is the Audio folder, the CWP, MID, lyrics etc.  everything to do with that song. 
 
These folders are then easily backed up to an external drive and I often transfer between computers. 
I date the main folders after they are transferred. = CWP-Backing Tracks -Jan 2017 
Those are scattered among at least 4-6 hard drives at any given time. One is even off site.  
 
So when I start a new project it is often from a midi file. I immediately use "save as" "copy audio"  is already checked and browse to the main folder where it belongs and create a "new Folder"  name the folder for the song, to put it in. The midi file is now where I can find it. I then do "save as" again and change it to a "Normal" ( CWP)  file and carry on. 
Sometimes I may have created that folder outside of Sonar and put the midi file in there. I have a lot of my own files and if I plan on working with them I often do this in preparation. 
 
If a song starts from a one of my custom templates I do the same thing, Open the template, but immediately do the "save as" and rename the folder etc. The huge thing is always check the "copy Audio with project" is checked

Cactus Music
Got nothing to do with audio cards. 
 
FYI- I have never lost a file in a long, long time since I adapted to a system that is more or less bullet proof. Many users here do something similar. Sonar's default system leaves a lot to be desired. First, the per project option is not the default ( unless they finally changed it) but for me that option is of no concern because I always store stuff in my own folders I create.  And then you need to make sure to change the file pathways in preferences to point Sonar to our data drives. So with the default you will have everything in a big mess in the audio folder deeply hidden on C drive. Your projects will all work until the day your hard drive dies. And with SSD drives we don't want audio on C drive. 
 
My system: 
After I install Sonar I change the file pathways for both Projects and Audio in preferences to the Studio data drive ( E) 
My Studio data drive's root directory is a bunch of folders named to reflect what is in them: 
CWP - Backing tracks
CWP- Original songs
CWP- Sock Monkey Band
CWP- Clients Name 
MIDI files
Wave- Backing Tracks
Wave Original Songa
Wave- Sock MOnkey
Wave-Clients Name
MP3- Backing Tracks 
Mp3- Original Songs etc  
 
In each of the CWP folders is a folder for each song. 
In those folder is the Audio folder, the CWP, MID, lyrics etc.  everything to do with that song. 
 
These folders are then easily backed up to an external drive and I often transfer between computers. 
I date the main folders after they are transferred. = CWP-Backing Tracks -Jan 2017 
Those are scattered among at least 4-6 hard drives at any given time. One is even off site.  
 
So when I start a new project it is often from a midi file. I immediately use "save as" "copy audio"  is already checked and browse to the main folder where it belongs and create a "new Folder"  name the folder for the song, to put it in. The midi file is now where I can find it. I then do "save as" again and change it to a "Normal" ( CWP)  file and carry on. 
Sometimes I may have created that folder outside of Sonar and put the midi file in there. I have a lot of my own files and if I plan on working with them I often do this in preparation. 
 
If a song starts from a one of my custom templates I do the same thing, Open the template, but immediately do the "save as" and rename the folder etc. The huge thing is always check the "copy Audio with project" is checked

I'm going to read this again when I have time. I store projects in folders I created for them on a pair of external hard drives.