OK. Here's the classic way of doing it.
You need a synth with a resonant filter, ideally one that self-resonates. Or at least one that resonates if a bit of white noise is put through it with the filter set to high Q (some synths call that "emphasis"). The filter can be high pass, band pass or even low pass, but a notch filter doesn't work so well.
After the synth put a delay, maybe a chorus as well or a modulating delay. The actual delay time usually isn't too critical, around 300-350ms generally works. Add distortion/saturation to taste.
So set an oscillator to generate noise. Set the filter Q high enough that when you play a note you get it resonating away. The sound will usually be pretty much a sine wave with some background noise. If the filter will resonate when a key is pressed (that is, the synth is triggered and the VCA envelope opened) without the added noise, even better.
To make the frequency shifts turn the filter knob, or assign the filter frequency to the mod wheel or pitch bend.
To make that sound warble modulate the filter with an LFO. Try triangle and sawtooth waves on the LFO, you can get really slow whump-whump-whump noises right up to almost FM synthesis. Feed that through the modulation/delay and that's pretty much it. Watch out for the gain though, things might get loud so a compressor between the synth and delay might be a good idea.
Envelope settings are generally not used for the filter, though a slow envelope or even LFO can be used to create the pitch shift if you want. VCA envelope to taste.
As for which synth to use, I'm hardware based and to be honest I don't use the Sonar synths at all though any synth capable of resonating its filter should be OK. It really helps if you can manipulate more than one synth control at a time. An inexpensive way to get a pretty good effect is to use a Korg Monotron - an "ordinary" one, not the one with a built-in delay because that version doesn't have adjustable Q in the same way. The Monotron has basically the same filter as the Korg MS10 and can resonate like mad, just keep a finger on the ribbon controller at a pitch that sounds OK and turn the knobs. Run that into a delay on the DAW and that's it.
Alternative methods include using sine or triangle waves from an oscillator and manipulating the pitch of that while modulating it, and, again, a delay. Though it doesn't really sound the same it has the advantage that if the synth is MIDI controlled the use of portamento and pitch bend can avoid "MIDI stepping" at higher frequencies.