When I record a softsynth for example where is the midi data stored in Sonar? There is an audio folder for audio but where is the midi? 

in the project file

If you want, you can simply drag a midi track onto your desktop, and it will create a midi file for that track.  Otherwise, as noted above, Sonar stores the midi data within the project file.
 
Bob Bone
 

Another take on Bob's solution is that you can (as I do) simply drag the MIDI clip(s) into the Project's folder (that is if you do create Project folders, which is strongly recommended btw) while it is visible in the Media Browser (all within SONAR).
 
Let us know if you need help locating the Project folder from within the Media Browser or how to create "per project folders".  These can be found in the Help menu.
 
Kind regards,
 
Living Room Rocker

Being able to drag the clip to the desktop or project folder will work out perfectly. I would have never thought to do that. Thanks guys.

Also you can save it as a MIDI file via the file menu save as. MIDI is a native file format for Sonar.