never had a saving issue unless it was a crash.
I've even saved to an external HD at one point.

your projects should be saved by default in C/cakewalk projects.
inside that folder you should have your projects files.

each project file should consist of a sonar x2.EXE and another folder with all your (.WAV) audio files in it.

This is what I have done. Copy All Audio with Project is checked. The files that I mentioned I put "temporarily on the desktop" were save there by using "Save As", and designating that folder.

As I said, this is what I have done all along - standard, nothing exotic: ".cwp" Key word here is "should". The problem is sometimes - having saved them within Cakewalk (.cwp) or in that Desktop folder (also ".cwp"), they none the less sometimes disappear. I agree they "should" be there, but why do the Audio files sometimes disappear? It seems to me that something is emptying just those Audio files. The folder is still there together with the framework of the project (all the tracs and their names, any automation editing, etc.), but the Audio file with all the sounds of those tracs is empty.

Djayers in your post you say you save audio in the cwp files. This can't happen. Audio is saved as separate files outside the project either in a folder called audio or in a folder that is a subfolder of the project folder and also called audio. The later is done when you have per project folders checked in the preferences.

CWP files only hold MIDI and pointers to audio files. 

I just mean I save my project as a normal cwp file, and of course Cakewalk then creates the Audio folder. In any case, they are together in the file that I created on my desktop. They are also together when simply saving them normally within Cakewalk. But also in both cases, the folder sometimes gets emptied (I have checked and it wasn't empty at first - not until later).