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.