I did a brief search but didn't find anything useful.

My cover band recorded some songs for (for free) in a "real" studio. The recording engineer gave me all the files from the session.

I think I could import the wavs one by one, but what is the best way???

Thanks in advance.

If he exported them as Broadcast WAV you can just drag them all into an empty project and they should line up if they were not all started from 0:00:00.00.

If they all were started at the same time then you should have no problems bringing them all in at once.
I usually just open the folder select all and then drag them right into SONARs track view.

Pst is a file format bespoke type only used by protocols just as cwp used by cakewalk will not work in protools, pst will not work in sonar. You must save the pst project in Omf format and then open the omf in cakewalk

OMF works (sometimes) and sometimes it does not. A better way to do it is to open the PT session. Create a new blank folder somewhere. The command is Export Clips/Regions (depends which version of PT you have) as Files. 

If there are mono and stereo interleaved files you need to do this in two steps. Do the mono files first then the stereo files. Select all the mono files for the whole tune. Then choose Export as Files option. It will ask what resolution you want and where to put them. Point to the new folder you have made. Do this for the stereo files as well.

It will make a complete new set of mono and stereo files for you in the new folder and leave the PT session files completely alone. It is also good because it ignores any effects processing you may have on the tracks as well. It just dupes the raw files only.

Then just drag all of those files into Sonar or any DAW and line them right up at the start and you are good to go.

If you used a click track during recording then make a note of the tempo in Tools. Set the tempo the same in Sonar and it should be in time. If the click is slightly out toward the end of the tune in Sonar you may have to adjust the tempo very slightly to make it stay in sync all the way through to the end. Good luck!