Yep: I've used 'save as' in the past, but I didn't want it to create a new folder and reimport all the wave files.

HUH? You do not need to create a new folder and re-import all the wave files when using save as.
 
'Save as 'makes a new file extension. Not a new folder. You will always have one per project folder for each project. 

No, but Sonar does this automatically.  I didn't want it to create a second copy.

Its not a 2nd copy and you can always delete the other file extension. It saves another CWP file exstension. You will always have one folder, no matter how many 'save as' you do, when saving to the same folder location.
 
This is what you need to do if you want to change the name after the fact. It doesn't matter if you do not want 2 file extensions, you will need to do it. 
 
Your stuck on this 2nd folder thing and it will not make a 2nd folder. You can delete the old CWP file extension. Its done all the time and this is how you do it.

When you 'save as', Sonar will create a new CWP file and a new audio folder and reimport all the audio files you have in the 'saved as' session.  If you're dealing with a session that has 200 audio files, this is kind of a pain in the arse.  Yeah: you can delete it afterwards, but I thought I could get away with doing it faster.  As I've said, lesson learnt.  

I routinely do "save as". Le's say I have a project called "new". After I have worked on it for a bit I do a "save as" to "new1". Then later "new2" and so on. That way I can go back to points where I know exactly what stage that project was at. I also use Sonar' versioning system, where Sonar itself automatically renames files as they are saved in different versions.
 
I have never, ever seen Sonar create a new folder, copy the audio files or anything like it when I do this. Not once. Not in Sonar 6, not in X3 and not in any and all versions between them. Sonar simply creates a new .cwp file in the original directory but with the new file name.
 
That is all.

Well in Save As, if you put it in a new folder, you also have the option of copying audio, AND when you check that box, Sonar will only copy over the audio that is actually in use in the project, so it is a handy way of trimming project bloat from old and unused audio clips.
 
Bob Bone
 

There are a couple things that are not well explained.
 
Most important is always do a save or save as from within Sonar. This is important because the project file holds pointers to any files external to the project. These include  wave files. When you use save as how it does what it does is determined by whether per project folders is checked in preferences. Without it being checked no audio is ever moved because it will be in a global audio folder.However the name of the audio files is determined by the name of the project file. The Project can't know where or what audio is present if the names don't match. Therefore even though a dialog should pop up asking for missing audio it wont work. Even if you know where the audio is the project wont load it because it will be the wrong name. The pointers are looking for the original names. Those were not changed because all you did was rename the project file with Windows explorer. 
 
The huge mistake was renaming the project with explorer. Don't ever do that again.