janchlupacek
The dragging out of the Sonar's window option would be fine for my usage, but what "export settings" Sonar uses then? When I compare file properties of one clip exported through my File/Export Audio menu and one through dragging option the bitrate is different (lower through the dragging). Does anyone know where can I set this up to my liking? 

Under Preferences > File > Audio you can set the render bit depth, which is used for export.
 
Also I'm not sure if this will do what you want, and it doesn't address naming, but if you want to export a collection of clips, you can "save as" to a new project folder and check "Copy all audio with project" and "Create one file per clip." The files all end up in the Audio folder for the new project.