Unless something has changed very recently, I find it very irksome that Premiere Pro does not support BPM for time code in its editor, which makes it irritating for making music-synced vids. Thats off topic, it just irks me :D
Going back to the OP's question, I'd go for doing all the work in the video editor and not use Sonar, unless you're generating a music backing track to play under it. Make the music as normal, export to .WAV, import to your video editor. If you're doing voiceover stuff, do that directly into the editor. Premiere will let you layer so you can get the right level of voice over the music, and while its mixing facilities are basic, they are more than adequate for getting the balance between voice-over and background music (if you're using any).
Sorry can't offer anything on Vegas as never used that.