1- in the save as interface, add a check box to "force project to use project's audio folder"
2- add the audio file's HD path in the clip " detail" section (in the inspector \ pro channel). I did not see anything relating to that...
Why? I recently opened a MIDI file directly in Sonar, loaded TTS-1, saved as sonar project (with audio folder), tracked a couple of Audio tracks. Saved. Noticed then that my files ended up in the global audio folder. Did a consolidate audio. Test a recording again... Ended up again in the global audio folder. Did yet another save as ... And so on..