I did the preset save n' load between SONAR bitnesses recently on a very small scale for just a handfull of effects and synths. And it was a PEEE-TAAA. 
 
If Cakewalk quits I think the only right thing is to publish the cwp file format in the public domain.

Note that unless you're really careful about interleaves, export everything as stereo. If you export in the original format (mono and stereo), the mono tracks could turn into stereo and then be re-combined as mono, causing clipping...so you think you've backed things up properly, only to find out your mono tracks are useless unless you left 6 dB of headroom.
 
What Sweetwater recommends will of course do the job, but there are other fine points...like with some programs you can drag and drop files between SONAR and the other program, how dragging can automatically render tracks, you can drag tracks to Live's Session view, the difference between dragging over clips or tracks, etc.