I would not recommend storing the CWP in a separate place from the audio. You will definatly cause problems doing that.
CWP , the icon, is a super small file that only contains the MIDI data and the project info. The audio is the data hog.
There is no benefit to keeping them separate that I can think of. It make backing up impossible too.
So do like most of us do and store all your projects on a DATA drive. Each project ( song) in it's own folder. Sonars default to global audio folder is a sure fired way to loose your work.
My Audio DATA drive has only Audio related files.
I keep Album folders and inside the album is all the song folders.
Inside the song folders is each ( projects) CWP and the Audio sub folder.
I save all projects as MIDI files too now.
Then back all this up to a Third DATA drive, and a fourth..