I am using SONAR Home Studio 7, and seem to be unable to create MIDI clips, or MIDI groove clips (I am not sure if there is a distinction or not). The only track that creates a MIDI clip is TTS-1 Drums via the step sequencer, but all other midi tracks just have a smaller variant of the piano roll view.
 
...at least, this was my problem originally. When I closed and restarted SONAR the midi tracks were suddenly in small bunches of clips, and I was able to easily organize them and turn them into groove clips. I'm still not sure what I did to change it, or why it required restarting the program to fix it, so I'd still appreciate any feedback on the matter.
 
In short, how do I change the MIDI piano roll data into a MIDI clip?

It already is a MIDI clip.
To convert it to a Groove Clip, right-click the clip in the Track view and select Groove Clip Looping.