Saving Sonar Project

Hi 
I'm new working with Sonar but not new working with any other DAW (Protools) and I have a client that want me to finish a project that he have in Sonar. So here is the question, when you guys recorded in Sonar and save the session does Sonar create an audio folder with all the audio files (WAV) on it or not? Or only saved the project as a Sonar project and that it's? So if that is the case here is another question, where all the audio files go? 

Thanks