Every song I work on, when I click on the Media tab and select Project Audio Folder (PAF), it defaults to the same folder. Ev-er-y-time. Prior to this, whenever I opened a CWP file, I had to navigate to the correct PAF.
 
Seems the CWP file should remember to  also call up the related PAF.

Go to preferences and change your default project drive/folder designation to the folder you want to record/store your files. When you create a new song it will default to that location. Also be sure to check the "per project audio folder" option in preferences.

Ahh... Looking at the Global Audio Folder, I saw that stupid song that Sonar always defaulted to. Fixed that.
 
I can't find anything that says, "per project audio folder." Not in Preferences, anyway.

It use to be under Edit>Preferences>File>Audio Data but it appears to have been removed. "Per project audio" must now be standard, i would assume. Can anyone else verify this?

there is a thread/post about it here somewhere, iirc it has something to do with how you start a new project, for example via the start screen, via the menu etc etc, some have per project folders by default, some not. i can't recall the specifics and i don't much use sonar any longer, but i think via the start screen is one that gives default per project folders, i could be wrong though, but it has been discussed before and someone listed out how it works

http://forum.cakewalk.com/FindPost/3566508

This has caught a few people over time. At least it's now the default. 
So I know you don't have to do what I do anymore but people still seem to loose track of files so at least my method is bullet proof. . 
 
What I have always done is set my project file pathway to the top tree of my Sonar Data drive.   I have containment folders there for each Album, Backing tracks, Originals etc as well as my mixdown folders.  
 
When ever I start a new project I immediately ( before I record anything) "save as" and
IMPORTANT_ check the "Copy audio with Project" box, even if there is no audio yet. 
I browse to the album folder where the project belongs ( if you don't want album folders skip this step) 
I create a new folder named after the song ( ya I know, Sonar will do this,, maybe) 
I then save ( with new name)  the new project within that folder.  
There will be an Audio folder that will ALWAYS be with that project in it's own folder. 
 
I have never lost audio since I adapted this habit. 
 

@Bob Bone: I read that article. I'll make a hard link to it for future reference (until the programmers decide to make things "better.")