An option might be nice but I for one wouldn't want to have to wait for the clip to finish before auditioning the next.
If I hear a couple that might work together (ie to see how a beat will flow into a fill or vice versa) I just drag them both on the timeline and delete it if I don't like it.
If it's close but not quite what I want then I'll sometimes tweak in PRV to suit my taste.
That said, I agree the option would be nice but of course that would be a XLN feature not Sonar.
EDIT: you might want to email XLN support directly and ask them...I've found them to be pretty friendly and responsive.