It doesn't matter where you put your projects, but if you move your project audio to a different location, the first time that you open a project Sonar will tell you that it cant find the audio. IIRC it will give you various options, one of which is to browse to the new location and choose the file, and then search for other missing files in the same folder. Once it has found the files and loaded the project just resave the project.
Alternatively, you can just use 'save as,' check 'copy all audio with project' and choose your new locations.
You could also save your projects as cakewalk bundles, then reopen them selecting the new locations for your audio and projects. This has the advantage of trimming away unused audio data as well. A proper clean up!