I have migrated an X2 project to X3, but when creating/bouncing audio, it is saved to the X2 audio directory, and not to the X3 directory. Details follow:
I invoked X3 and opened an X2 project. I saved the project in X3, in an X3 directory that I use for projects.
 
The X3 file location preference for wave files is set to "sonar x3 audio."
 
The project consists of some SW synthesizer and MIDI tracks. At this point, there is no bounced audio in the project.
 
In X3, I created/bounced the audio to new audio tracks and saved the project.
 
The resultant audio tracks are in the "sonar X2 audio" directory. I see them in that directory, plus the X3 project > audio files pulldown also indicates that they are in the "sonar X2 audio directory.
 
How can I set up this project so that audio files are stored in the directory that is specified in the file preferences for wave files (in this case, "sonar X3 audio)?
 
 

If you are not using per-project audio folders, audio is stored in the "Global Audio Folder" specified in Preferences > File > Audio Data

edit > Preferences > files > audio data is set to "sonar X3 audio."
"use per project audio folders" is NOT checked.
 
The audio files continue to be saved to "sonar X2 audio."

I have used per-project folders since they were offered, so I had to reconfigure to see what happens when it is disabled. It appears that projects retain their original audio folder setting for storing data. Copying the the project file will not cause the project to pick up a new destination for audio file storage. The best solution to this issue, at this time, would be to enable per-project audio folders (the default behavior) and make sure the "Copy All Audio with Project" option is selected when performing a "Save As".

+1 on checking the box for copying all audio with project.  This should take care of it.
 
I also highly recommend using the Per-Project Audio, as it makes organization MUCH easier.
 
Bob Bone
 

scook's and robert's advice worked for me. Thanks, all.