The use of the mod wheel for volume is common because it allows you to change the volume on a sustained note, where using only velocity prevents you from changing the volume once the note sounds.
But you can use a MIDI FX plugin in SONAR to map Velocity to a CC. The one I have is from TenCrazy.com and is called Velocity to CC -- though I haven't used it in years. I think there are other MIDI FX plugins that can do the same thing, Cakewalk may even have included some with SONAR.
Here a link to the TenCrazy MIDI FX plugins:
http://www.tencrazy.com/gadgets/mfx/ These kinds of tools can be handy when dealing with external MIDI files.