I've got Sonar 8 Producer Edition (x64).
 
How do I change the settings so that it doesn't save loads and loads of audio files on my computer hard drive?  I once clicked on "Clean Audio Folder" in the "Tools" tab, to get rid of supposedly unwanted/unused files, but I had trouble loading a project the next time I tried to open it.

It only saves what you don't delete. 
If you record a track and don't like the take, Delete it. 
Always set the record option to "overwrite" 
 You should use the "per project folder" option to prevent a huge mess of audio being all in one folder. 
If this is what has happened to you then do this: 
The best way to get rid of what you don't need anymore is to perform a "SAVE AS" 
 to a new location. Use the "copy audio with project" option. This will only save what that version of your project was using. Do this for each project so you will have a folder for each project and the audio for only that project will be in that folder. 
 Make sure you have your back ups too. 
 
 I never understood why some of these settings are not the default for Sonar. 

Spot on Johnny.
Per Project Folders is definitely the way to go.
 
Once you have re-saved all of your projects using Save As, you can safely delete all of the files in your Global audio folder.

Yes, Sonar saves every single take and punch in clip you do. Even if you delete a track and everything in it, all the audio for that track is still "saved" in the audio folder for that project.
 
This factor had saved my butt a time or two when I accidentally deleted some tracks I needed from a project and only realized it several days later. I was able to go into the audio folder and find them and rebuild the track. Not easy but totally possible.
 
The idea above, to "save as" is good. You can then delete the original song folder and it's audio files. Only the files you included in the new saved version are kept on the HD. If that screws up, you can recapture from the recycling bin without problem, so be careful about emptying the recycling bin before you thoroughly check the file folder you did save. It won't hurt to let them set in the recycling bin for a few weeks.
 
Perhaps a better option to deleting files and folders is to purchase a new storage drive. Grab a one terabyte drive and install it as a storage drive. It will hold thousands of huge song files without a major issue. As many song projects I have on my machine, the 1TB drive is nowhere close to being filled. As you finish the songs in Sonar, simply drag the complete project folder out of the C drive location where cake creates it, into the storage drive into a subfolder there.
 
That "clean audio folder" function scares the daylights out of me. I recall using it in a much earlier version of Cakewalk and the results were a disaster. I'm not exactly sure how it's supposed to work but I would really love to see Cakewalk fix it so it's actually a useful thing. Perhaps if they would re-work it so that it works on a PROJECT level as opposed to searching the entire hard disk...... because I, like you, would love to be able to reclaim the several hundred megabytes of wasted disk space that is lost in each project to the missed-takes and the deleted takes that I know I will never want back. I'd just like to be able to wipe all the takes that are not active in the project.
 
Until that happens from Cakewalk, I just move the projects to my storage drive and let them collect digital dust.

Utilities > CWAF Tool
 
Learn it, use it, love it.

It's your housekeeping.
But once in a while you have to maintain.
 

Hey Herb, Not sure if you use different settings than me, but in my audio folders are only what is kept after I save and close a project. If I delete tracks they are gone. Forever it would seem.
 
Might be some settings that keep all deleted stuff but I guess I am not using it.
 
In all the years of recording with Sonar I only erased a track accidentally once. I had closed Sonar and forgot to un-arm a track I just finished. The track was off screen at the bottom so I didn't see it. So when I re opened the project and decided to re do a track at the top, it inadvertently also recorded over the hidden track.  Like always, I hit save when I was happy with my overdub.. I couldn't figure out why this new track was twice as loud all of a sudden? That's when I found the hidden armed track!!  I went looking for the original audio file and it was not to be found. I looked in the audio folder and the track had the correct name but now played the same as the new recording, The original was not there.  
 

Bad Monkey, I should have looked here first before posting in that other X rated forum..Thanks for da good answers to what I was pondering...
OOk.

Cactus Music
Hey Herb, Not sure if you use different settings than me, but in my audio folders are only what is kept after I save and close a project. If I delete tracks they are gone. Forever it would seem.

That's right. Audio files created during the current session are only kept if they're referenced by some clip in the project when you save it. If you close without saving, or delete the clip and save, the new audio file will be discarded. But once a file is preserved by saving, it will persist forever, even after deleting the clip or track that referenced it.

Thanks for the responses guys. Some good stuff in there. I do the "Save As" thing already and I also do the housekeeping when the audio files build up; I was trying to find a way of stopping them building up in the first place. Prevention rather than cure, I guess. Apologies if, somewhere in your responses, a prevention has been offered, but I'm not really an expert and some of the terminology goes over my head a bit.