You don't want them all in one file. A CD has to be indexed so it needs to be made of separate files that can be played sequentially or randomly. Sonar is not the best tool for this. Get Cakewalk pyro Audio Creator or Sony CD Architect to create your master. 

whole album in the same way, that is, EQ, limiting and compression

Each song will need different Eq, compression and limiting settings to it. There are no one settings for all in mastering. Your ears will tell you what to use and what settings to set them to
 
Cj

Very much agree with Dave and Cj and this was why I recommended using 11 Audio tracks rather than one. Each track can then have EQ, Compression and limiting applied individually while being able to compare tracks one against the other. Once Bob is ready for the next stage of exporting and CD creation, my advice was then going to be to export each track individually rather than create a composite track (and thereby avoid the need to 'slice'). Also agree with Dave about Pyro and Architect. I use Architect and it is excellent - but of course it costs money and I actually find it easier and more effective to do much of my mastering within Home Studio. I then use Architect to apply the 'gloss'. As they say, "each to their own"!