John's point above is a very good one. A "clip" is like a window into the underlying wav file, so you can potentially be telling SONAR to read/process numerous wav files to create the audio stream. When you bounce to clip(s), SONAR creates a new single wav file (embedding any clip FX) which is much simpler to process/stream on your computer.
SONAR will never delete the underlying audio on you, only create new ones. If you get a complex series of clips that you may want to edit at some point in the future, it is good practice to save the bounced version with a new project name so you can go back to the previous edit point, bounce again, and pull that audio into the post-bounce project. This is rare to "need" though, as you can always continue to edit from the bounced version.