I have created some projects without checking the box to have all wav files put into project folder.  Now, if I "Save-As" the project again with the box checked, will all my files be collected into that project folder or am I just making duplicates and I will still have to go back and delete the scattered files? 

Yes , using save as is a good way to sort out messes made with CWP files and the audio folder that should go with it. Checking the copy  audio with project will save the current version of the project and leave behind any extra back up stuff. 
I make a folder for each song. The default seems to be a global audio folder which is a bad idea. 

Could you give me the steps involved in creating a seperate song folder for each wav collection?  When I "save-as" the cwp,  it still puts the wav files in a global audio folder.
 
Thanks.

In Preferences Check the box Save as Per Project folders and SONAR will create a folder with the name you give your project which in turn will contain a folder labelled Audio into which all associated audio files will be placed by SONAR as they are created.

OK, I got it all in the project folder.  Now, do I have to go back into the global folder and delete the now duplicate files on by one or is there an eaiser way?

I told you in my first post, please read it again... I highlighted it.  There are lots of ways to make folders and lots of ways to save to where you want things to be, Maybe that's why people never figure it out. 

Open the project in question
Go to File Save As
rename project and in the dialog box that comes up select Copy audio files.
SONAR will then create a new folder according to the new project name which will contain the SONAR "your song".cwp file and an Audio folder with any audio files that it refers to.

you are then free to delete any previous folders for that project.

The reason that SONAR has a Global Audio folder is that you don't always have a saved project open when SONAR starts meaning that any imported or created audio has to go somewhere until the project has a name and is saved. Global audio folder fills that need.

Because SONAR is called a non-destructive editor all audio files are saved in your per project folder. Until you render a file or change it's sample rate or bit depth SONAR only stored the edit information in the cwp file and then applies that to the wav file. When you use save as you create a new set of audio files and SONARs cwp file no longer contains those edits as they have now been rendered to audio.
To help, SONAR has a versioning ability allowing you to automatically save the most recent version of a project time stamping it with a new name allowing you to keep a whole recording history for a project without ever deleting one note of recorded audio.

Consolidate project audio and clean audio  files are other processes available inside SONAR that allow you to manage the large amounts of files that can easily accumulate within a single project. It's worth reading up on these features in the help file as a good back-up strategy is vital. It's also good to know how SONAR manages it's files so that you have no regrets down the track for deleting or losing data by accident. Inevitably you will lose data sometime if you don't prepare now.

Turning on auto save by default is also good advice. SONAR never saves at the detriment of a project recording or some other process so don't worry that auto sav will cause a drop out. many of us regularly press Ctrl-S to save frequently.

I'm not sure if this has been mentioned, but when you do a "save as", you MUST ensure that the box entitled "Copy Audio with Project" is checked.

If you don't do this and subsequently clear out your global audio folder, you'll be more than slightly annoyed

For me the bullet proof never, ever, loose a file method is to make my folders outside of the software in Windows. I do it this way because I record live performances that might be 30 songs on my laptop. I need to transfer files to my home DAW later.  

7200 RPM SATA data drive
Sonar 64 bit -folder
Album name -folder 
Folder for each song ( project ) 
in these folders is the CWP, There might be a few versions of song. Also the lyrics and anything to do with the song. Notes etc. The Audio folder will be here too. 

Open a template, fine tune,  and do a "save as" for each song pointing it to it's folder and naming it as you go. 
Did you know you can have a lot of projects open in Sonar! I minimize to the bottom. 

Save it as a bundle