Well, there are usually multiple ways to accomplish something.
The install of X2 creates a default projects folder at: C:\\Cakewalk Projects. During my X2 install, I specified D:\\Cakewalk Content, rather than use the default on the C: drive of the same name.
Immediately upon completing my install, I created a folder on a different hard drive: D:\\Cakewalk Projects, and can't recall if I created a sub-folder for Audio Library or if I was able to point to it in the install, but either way that's where I set the global audio folder to be. I use per-project audio sub-folders within each project folder anyways, so the only time that pops up is when I am exporting audio.
Anyways, I made sure the folders were all specified as I wanted them to be in Preferences, and that was the end of that.
My old projects were all simply pasted into the D:\\Cakewalk Projects folder, and with the audio folders all contained within each project, that was the end of it.
I never went back and deleted the empty C:\\Cakewalk Projects folder - don't know if it matters - it never mattered to me.
I also never went through the mechanics of any linking of any libraries or anything like that.
It all just works for me, and if I ever choose a different scheme, then I only need to set things up however I want, and then will change whatever I need to in Preferences to tell Sonar where anything has moved to.
It's really pretty trivial to do, and you can change it whenever you want. For me I did it for performance reasons, as I have plenty of space on all of my hard drives.
Hope that helps,
Bob Bone