1. Your post indicates you are using X1, and yet your import question is for X2. No problem - if it is one or the other you are going to want to figure that out, and it is both cool too.
2. Cakewalk X1 and X2 both allow direct importing of WAV formatted files. You just insert an audio track, select it, then click on File>Import>Audio. Sonar will bring in the WAV file on the track you had selected.
3. Your old projects can be opened in X1 or X2 - I would NOT recommend doing that, as it exposes the old projects to accidentally getting saved in the newer version of Sonar, when you may decide you did not want to actually do that.
I would recommend that you create a folder within your Cakewalk Projects folder called 'Prehistoric Projects' or something to indicate that the contents came from some prior release. Then move all of the old projects into this archive folder and begin a conversion process. The conversion process would involve copying back one of the older projects into the Cakewalk Projects folder (yes I know they were already there, but bringing them back one at a time doesn't make you guess as to where you left off). You would work on converting each project only within the regular Cakewalk Projects folder, so that you preserve your original oldies/moldies. You would likely be swapping out plugins and remixing projects - that is really the conversion - and over time all of your projects will be upgraded to the newer version of Sonar. You could also take advantage of newer functionality as you are editing each project.
4. I am not sure I understand your differentiation for bringing in finished tracks. You would import individual tracks (songs?) in an import audio step - to load up an audio track in the newer Sonar with each finished track for a given song, then mix down when finished. If each one is its own finished song, they would simply occupy one track within the new project in the newer Sonar.
Does that answer your questions? Or, did I fall and hit my head again?
Bob Bone