I too was frustrated by this when I first started using Sonar, having come from Pro Tools which has merge recording. However once I got used to the change in workflow I came to appreciate it. Having a separate clip for each pass is actually quite handy from an editing and arranging perspective. You can keep those clips stashed somewhere and mix and match them to make new beats, for instance. Or let's say you have the kick and the snare down and then you record the hats. You might want to experiment with different quantize settings on the hats. When you have a separate hat clip it's easy to just select it and quantize without worrying about it affecting the kick and snare.
So by the end, you should have numerous clips stacked on top of each other. Just lasso them and bounce to clip. Very simple. Of course another way of doing drums is to give each drum its own MIDI track. There is something to be said for building your drum part from separate drum clips like this - you can mix and match the patterns for each drum at will. This kind of flexibility is much harder when all of your drum MIDI is in one track. When you've gotten the arrangement to your liking, just bounce it all down to one track for the sake of tidiness.