Indeed, definitely keep your project files (if that's what you meant by song files) with your audio files. Ideally, each Sonar project should look something like this:
D:\Cakewalk Projects\My Song
...This is where your project files (.cwp) reside
D:\Cakewalk Projects\My Song\Audio
...This is where all the Audio files reside for the project.
The "My Song" folder is completely portable and backup-able on its own, as it contains all critical Sonar files. The main thing is that the D: drive (in this case) is not used for any function other than storing project files and streaming their audio. You can store other static data on this drive, but nothing that needs to be accessed in realtime by ANY program.