You may well have exported to MP3 directly from Sonar in the past, but unless you have added one of the free ones, or purchased a license for the one that Sonar installs with, you would have run past the 15-day trial version that was enabled when you installed X2.
There are free ones out there you could use, and you can find instructions for adding one to Sonar, by searching the forum (I use Google, with terms like: 'site:cakewalk.com forum mp3 encoder free', and follow the instructions).
Another choice is to pay I think it is $20 for a license for the same one that installed with Sonar. You would get that one from the Cakewalk Store and follow their directions.
Another choice is to simply export in perhaps Wave or WMA format, and then use any of the countless media conversion freeware programs to convert your exported songs to MP3 format, or whatever you want to use. Just remember that you want to drop the Sample Rate to 44.1k and the bit-depth to 16 if you want to create CD's for your music. That would be stuff you specify in the export process dialog box.
So, any of the above work - also plenty of helpful doc out there on all aspects of doing it.
Post back with any questions or concerns, and me or someone else will assist you.
Bob Bone