As was stated above, in Sonar, you don't need to insert a blank measure - just by entering notes into the prv another measure is automatically created for you.

... and once you create a few measures, you can split the item up however you like.  Even measure by measure.

If there's an existing clip in a track, SONAR will tend to automatically extend the the boundaries of the clip to encompass new events. Only if they're more than a measure away will it create a new clip. So your one-measure-at-a-time approach is going to be problematic if you want to keep measures separate (which I understand might be useful/necessary for subsequent arranging).
 
I think the two least fiddly options are:
 
1. Alt+click with Smart Tool in the track view to split the clip after the fact (for best results in this scenario, make sure Non-destructive MIDI Editing is disabled in Preferences).
 
2. Right-click the existing clip, and choose Clip Lock > Lock Data. This will force a new clip to be created for the new events. After you've created several measures/clips, you can unlock everything, and proceed to arranging or doing additional editing of individual clips.