How I did it (aside from harassing the poor fellows here on the forum incessantly):
1) Download the PDF Manual (which was posted in the second post) and worked through the Getting Started tutorials at the start of the manual. If you installed all the content you received with your discs or download you will have all the sample material needed to work through those tutorials and the tuts will instruct you on how to access them. THIS IS THE MOST IMPORTANT AND USEFUL STEP OF ALL! Sorry to yell but it really is.
2) Watch all (or as many as you can) of the vids on the CakeTV section of this site starting with the beginner stuff and working your way up. Some of the vids use older versions but are still extremely useful. Some of those "outdated" vids have little pop up instructions at the bottom of the screen whenever something has changed between the older versions and the newer X series way of doing things (and some of those popups may be outdated now too but if you worked through the tuts already you should be able to figure it out). Right now I'd say the most important video up on Cake TV is the Comping tutorial that shows how to use the new editing systems in Sonar. It moves very fast so watch it a bunch of times, take notes and try it all out. Also be sure to read up and learn how to use the more traditional recording modes (Sound On Sound and Overwrite) for those instances when Comping is just not doing what you want.
3) Try to read beyond the Tutorial section of the manual a little bit every day. It is a 2000 page manual though so it is a lot of material but most of the really crucial stuff is at the start. When you need a specific answer use Google to search for it with the following search terms before the topic "Cakewalk + Sonar + User Guide + a brief description of what you are trying to figure out eg: "Piano Roll View Input Note" or "Prochannel EQ". They have the entire manual online for exactly this purpose and the online manual is usually more up to date than the downloadable PDF (or at least that used to be the case but they may have both in sync these days). The alternate Google search I do is replace "User Guide" with "Forum" and you'll get a bunch of entries here on the forum that pertain to whatever it is you are looking for. If that fails you can just start a thread and ask us (even though I'm not around much lately and am kind of a dum dum but these other guys are wicked smart and helpful).
4) There are indeed some very good third party (paid) tuts out there many of which have been mentioned. The ones I own that have been really useful are the X1 Advanced series by Craig Anderton (lots of cool tips but not really a step by step... he shows you more in depth techniques as opposed to how to do the basics), Sonar X2 FX Advaced Workhop by Karl Rose (FastBikerBoy... this goes into great detail about the FX included with X2 most of which are still in X3 but I wish he would do an updated version for the newer plugs but he also did a full series that IS general tutorial that unfortunately I do not own)... both those are available in the Cakewalk store and go on special from time to time. There is Scott Garrigus' Sonar Power books which are indeed spectacular and are definitely a step by step "how to" guide and reference that are much easier to digest than the rather stale and sometimes quirky manual. He also has an extremely useful website called Digifreq (google it) that has lots of neato stuff and some vids. The other place is Groove3 and they have a crapload of awesome vids on all sorts of music stuff and a month pass is pretty cheap (like 15 bucks I think) and definitely worth it if you can hunker down for a while and take notes on it all. The best Sonar vids on there are done by a fellow named Eli Krantsberg (I'm not sure on the spelling but he is an excellent, easy to understand teacher) and there are some other really good ones from other showing a full mix being done with Sonar.
5) Time. Just spend as much time as you can poking around at it all. There are menus all over the place in Sonar so get used to where they are, open them up, search the items listed in the manual to find out what they do and try it all out with some of the sample material, loops or your own recordings.
Welcome and good luck.