Could be pilot error but I can't figure this one out.  Clips are not grouping properly.
 
Record setting are set for comping.  I have set to group only clips in folders, and all 8 drum tracks in a folder.  There are three takes that I'm editing, and when I click drag to select a comp section it only works on one of the tracks.  i.e. I have all tracks selected and I click drag take 2 in kick and it only selects to comp the kick track.  Also it's not soloing the tracks properly everything is playing all the time.
 
 

Do the clips in corresponding lanes of each track have matching group numbers in the upper left corner? If not, you may need to group them manually.
 
Regarding hearing all takes playing together, after comp recording only the most recent (topmost) take in each track should be left active with all earlier takes in each track muted (grayed out - the old clip mute icon is gone). As you swipe sections of different takes with the comp tool to split them off and promote them, they should automatically become active if they were muted and the corresponding part the take in another lane that was previously active should automatically be muted so you only ever have one lane active in each track in any time range. And you shouldn't have to select anything in advance; grouping should take care of that for you if it's working properly. As new clips are created by the automatic splitting, new group numbers will be assigned, and they should all match across the tracks.
 
EDIT: Here's a screenshot of a quick demo project I did just to check this out before I have to use it "in anger" on my wife's double-miced acoustic guitar and vocals:
 

 
 
 
 
 

Just to add to what brundlefly said and more for future reference, check that the recording mode is set to "Comping". If you are hearing everything it suggest it might be on  "sound on sound" at the moment.
 
The main difference between those two is that on "Comping" all takes other than the last one will be automatically muted. If they are all currently sounding click in the lower half of one of them  to isolate just that one take. That takes you to the starting point as if you'd recorded in comping mode.

Thanks for the replies.  I'll check this tonight.  Had to finally go to bed after hours of trying to get it to work.  I do have record mode set to "comping" but I think the problem may be as brundlefly mentions, that the clip group numbers aren't matching.  I'll let you know if that works.

Got it fixed, the problem was that the clips weren't groped properly with the number infront of the clip.  I went through to CTRL+Click each corresponding clip from each take and right click and select "Create Selection Group from Selected Clip" and then the number showed up in each clip respectively for each instrument (i.e. Kick, Snare, Tom, OVH)
 
I was then able to carve up the clips and it did it across all 8 tracks.  Seemed to work best for me to zoom out and just split everything into 4 bar phrases for what I was doing.  Maybe a little excessive, but I want to see what works best.
 
Anyway thank you Cakewalk for getting this in there, I was tempted to jump ship to S1 because this feature wasn't there, and it's such a pain trying to edit things with cut and paste against multiple tracks.

Here's a quick hack if you didn't group multitrack drums beforehands. Sonar does not have grouping multitrack recording of lanes ON by default which is pretty dumb considering ungrouping them is a trival step. I just tracked 10 tunes w Sonar for drums. Nothing was grouped. Rrrrrr
Here's how I hacked it so I didn't have to CTRL-Click and group every take lane, even though there should be an AUTO feature!! 
 

Record one, full grouped set of take lanes
Go to Edit -> Preferences -> REcord
   Turn on Multi-track Grouping - GROUP ALL CLIPS.
Record enable all tracks in multi-track session.
Hit record and record a blank file from start to end of your track.
Now, you will have a new grouped set of take lanes for all the tracks that were in record mode.
For instance, Lane T33 will have file "Record 16" on all tracks and they will be grouped together as "01" in the upper left of each lane.
This is, of course, what ALL tracks would have if Grouped record was properly set from the top step in this tutorial.
 
Edit away: 
Pre-edt with markers (don't skip)
Find start and stop points where you want to find sections. 
Add markers
Use CTRL-A at each marker and hit "S" to split all clips
Since you did the markers, you don't have to edit left and right points with comp tool for sections you want to audition. Just select a section on the top, new recorded lane and..
Use Shift-Spacebar to listen
Use up and down arrows now to move freely and select any lane from all tracks at once
Hit enter when you have the lane you want to keep!!
Ctrl-C Copy if you want to copy these lanes to another session.
 
Since the up and down arrows select the proper lanes as you move up and down, based on the split endpoints of the new, recorded, grouped, top take lane, you never have to group the remaining lanes!
 
Comp Split tool still works, but...
You can use the comp split tool as well, but you still must pre-split all tracks with CTRL-A. 
Also, the top two lanes sometimes group together with the comp tool and you can see on the left, with the color coded select next to the Take lane name. if they are, then as you move two lanes are selected for auditioning. PLay with it in this case or just stick to marker sections.
 
Any questions? Ask away!