.CWP, or Cakewalk Project files, are the native file format. They contain all project settings and MIDI data, but no audio, only references to audio.
.CWB, or Cakewalk Bundle files, are the archive file format. They contain project settings, MIDI data, and audio data. Because they contain the actual audio, they will always be larger than the .CWP file.
When you open a Bundle file (.CWB or .BUN) SONAR must extract the audio from the file and write it to disk.
When you open a Project file (.CWP or .WRK) SONAR does not need to extract the audio. The audio is already present in the Wave Data folder or the project folder (if you use Per Project Audio). Since it does not need to extract the audio, it is faster to open the .CWP file than the .CWB file.
For day to day work, .CWP is the way to go.
For archival purposes, use .CWB.
Better yet, don't use .CWB at all. Use SONAR's Per Project Audio feature and simply copy the project folder to CD or DVD as data. The project folder contains the .CWP file and a subfolder named Audio, containing all the project's audio data.
If you want to clean your disk of any unnecessary audio data before archiving, I recommend CWAF, the Cakewalk Audio Finder utility, on the SONAR 3 CD. It's much more powerful and flexible than Clean Audio Disk.