Recording in 24 bit has several advantages.
Firstly it's the native built-in bit rate of nearly all interfaces. Telling Sonar to use 16 bit means Sonar truncates the incoming data down to 16 bit from 24. Which uses little cpu but also adds an extra bit-depth converion into the recording process.
Secondly 24 bit has a massively increased dynamic range compared to 16 bit. Which means the noise floor is lower and you can also record at a lower input level into Sonar which helps later when mixing.
Converting back to 16 bit for e.g. CD use is best done once, as part of the final mastering.
The only downside to 24 bit compared to 16 is 24 bit takes up more disk space and puts a higher load on RAM and disk input/output. Most DAWs will never notice this.