Vegas is the place to add your audio.
I've never had a problem adding audio to a video (that has no audio) in Vegas.
I'll use Vegas to prep a video clip for import to Sonar (was using X3 for a long time but just upgraded to Platinum)
Then finish the audio in Sonar, export as 48/24 and add it to the vegas project where the 'real' video resides.
I drop a lot of markers in Vegas so I know exactly the frame where the audio needs to start.
If there are any problems down the line where the audio might not be exactly where I want it in Vegas,
then I just slice and slide it into place.
There's no comparison, in my opinion, with attempting to do it in Sonar.
I consider it impossible to finalize a video in Sonar.
I only use sonar to reference the video and to create the score, and then finalize and render in Vegas.
P.S.
If you have any sync issues in Sonar make sure to import the audio from the video also, even is it doesn't contain any sound,
and do delete the blank audio track.
I've found that Sonar needs that blank audio track that is imported with the video to maintain time for the Video.