I think what the OP is after is simply to be able to drop an MP3 file into Sonar and that it remains as an MP3. 
The problem is this would only  be possible if Sonar could be set to work in the MP3 format entirely. In other words, the vocals would now be recorded as an MP3 track. 
 Because it works in the WAVE 32 bit format it HAS to convert the MP3 into that format to function. You cannot use multiple formats within a project. 

As there is zero quality gain in converting an MP3 into a WAVE it would make perfect sense to just keep the original format, unfortunately as far as I know this is not possible with Sonar. Correct me if wrong but I have never seen an option to record audio in MP3 format. 

BUT there might be other software that does. Audacity?  

@cactus - thoroughly agree and dead on.  
the only mp3 converter that i personally use is itunes. if you're going to be uploading to soundcloud, export audio as a wav file and upload that.  sc compresses whatever you upload using their encoders, so if you upload an mp3 it's going to go through another layer of compression which will further degrade sound quality.  

@tacman - yeah for collaboration, but only if in your example you take the wav of the guitar and bring it back into a project that has the original recording.  layering it over an import of a mp3 is just going to provide very inferior results with glitches in quality.

@Wood - just found 'Always Copy Imported Audio Files' before I read the recent posts. And after some pretty extensive experimenting I've found out a few things:
 
@Cactus - from what I can tell, you're right in that Sonar HAS to have a file in WAV, however it doesn't simply work in 32 bit format, it depends on what render/import settings you choose. And actually even if I told it to import audio files and 32bit AND render 32bit, it still had to make a new copy of it for some reason as well, whereas with 16bit WAV's could be dropped directly in without creating a copy at all (if I unchecked 'Always Copy Imported Audio Files'). So, unless something is strange about my previous 32bit recordings, Sonar seems to prefer, or at least be less picky with 16bit WAV's. The only time it had to make a copy of a 16bit WAV was when I set 'Import' at 32bit.
 
Also @Cactus, it does sound like you're the one that understood best what I was aiming for after all, haha. I do find it funny that a high end program like Sonar can't handle different file formats and bit depths simultaneously while Acid Pro (what I've mostly used previously, and seems less advanced) can. Which speaking of Sony programs:
 
@Musichoo - I usually use Sony's Sound Forge to save my files as MP3. It gives you a chance to do some final touch-ups before you save as well. And there's lots of bit rates and options to chose.

Also another question, and this may be best posted in another area, but since most of the instrumentals I've produced myself are in FL Studio, is there a way to sort of ReWire or have the whole FL Studio project sort of stream into Sonar to play as I record to it? I know it's not likely, but if I can avoid having to save the instrumental, then record and save the whole song and instead just master it all at one time it'd be nice.