I reclaimed nearly 6 GB of space on my C: drive by moving the Cakewalk instrument libraries (Dim Pro, Rapture, Session Drummer and Studio Instruments) to my library drive. As described above, symbolic links make the move transparent to SONAR without any additional steps such as re-configuring those instruments to look elsewhere for their samples.
Non-instrument VSTs, however, don't take up enough space nor incur enough I/O overhead to worry about. I let each vendor install their stuff to default locations because it avoids potential problems later on.