Simple (hopefully) question about wav file creation and freezing tracks?

Look for the option "Clean Audio Folders" under the "Utilities" menu. You'll also find additional information by accessing the Sonar online help and searching for --> clean audio folders . Some members also prefer avoiding using this feature and instead create a new project folder where the project can be saved, allowing you to delete the "old" folder once you've confirmed that your project is good to go. The reason for this pseudo workaround has to do with the feature searching the hard drive even though you've indicated a specific path and folder. I've never used this feature and cannot confirm this, but a google search returned many hits mentioning this. 

that's a question for "the bakers" i believe ;) but, consider for example, if it did delete the previously frozen wav, what happens to your "undo" history?

Another way to clean up a projects files is to do a "save as" to a different location, then delete the original, then move your copy back.

There is also the quick freeze and quick unfreeze. I don't see how these could work if Sonar did not keep the frozen files at least for the first few freezes. There is always a down side to any feature that adds files to the system. Cubase has unlimited undo that is not lost with an exit but it also creates huge undo files in order to do this. The good part is this can be turned off but you loose all the undo history for a project. 

Sonar in the end has a good way of doing this by using internal project pointers to the audio files instead of modifying the files themselves. And the way to have a good undo history with Sonar is either use versioning or save as when ever an important edit is done.