Welcome to the forum Elliot. What you call the play head is called the now time in Sonar.
There are several help videos in the Sonar university section of their site that will get you up and running quickly. They are free to watch and check out. You should also consider getting some of the tutorial videos at the cakewalk store. They are cheap enough and you will learn a great deal.
I really don't nudge I just zoom in on the clips I want. I click on the clip in the place I want the now time to go. That seems easier to me. If you are having trouble getting the now time where you want it then make sure you turn off snap to grid.