I have the same question about using Audacity ~
It will open from the Sonar menu with the selected audio just fine, but for the life of me I can't figure out how to save the edited audio back into Sonar - it seems Audacity just wants to export to a new file or save to a project on the hard drive.
Adobe Audition is seamless, and saves right back into Sonar.
Probably overkill, but it would be nice to be able to use both editors as desired - just because ...