Create your drum folders with the windows file explorer.
Then drag and drop the clip from Sonar direct into the windows file explorer.
The file is named as the clip within Sonar.
Also you can drag and drop from the file explorer to Sonar.
You can also buy a little tool - Fences - from Stardock 10$.
So you have an open folder instantly open on your desktop:
http://www.stardock.com/products/fences/So you can create a folder portal for example to h:\drums\midi-patterns\...