Look at Preferences>File>Audio Data, and near the bottom is a box you will want to make sure is checked, It is called: Use Per-Project Audio Folders.
With that checked, any audio clips for each project will be placed automatically in a sub-folder to each project folder, so if your project is called Louie Louie, Sonar will create a sub-folder within the Louie Louie folder, called Audio.
Now, this is a different matter than where exported audio goes. By default, when you export audio, such as your final mix or whatever, it goes to a global audio folder called C:\Cakewalk Content\Audio Library.
If you want to change that setting, which again is global and will affect storage location of all exported wave files and such, go to Preferences>File>Folder Locations, and you will see a path for Wave Files.
Many folks choose to run with Per-Project Audio Folders turned on, as it makes it SOOO easy to manage clips for a given project.
Hope that helps,
Bob Bone