Another way I learned recently that's probably a little more reliable is to:
Bounce any effects/MIDI you want to keep.
Then use the Export Tracks option in the File > Export dialog
Make sure you save them all in one folder.
Set up the project in the new program to the correct tempo/samplerate/bitdepth
Then import all the files from the folder. They should line up.
If it has a drag and drop style feature like Sonar does you could also just select all the wave files in the folder and drag them all right into the project at the start time.
Quite a few people have told me that OMF files can be problematic. Not sure why.