...Well, the better way to make sure it can be opened propherly is to save the files as .bun file in CWPA9...
Why Jaymz ?
Because .wrk format files didn't save your audio files contained in the certain project. It simply just put several refferences into audio files contained in those project. Cakey will use this refferences to trigger them and draw in the track view.
Where are those audio data being put Jaymz ?
The audio data are kept in your Cakewalk's Wave Data folder. If in any case you erase the wave data (eg. delete, clean...) you'll loose those. And cakewalk wont open it, instead just put a blank clip on track.
So what do I do now Jaymz ?
Make sure you pointed the Audio Data Folder setting in SONAR to match the location which was previously used by Cwpa9 you used to do the project.
In SONAR, go Options --> Global --> Folders, and point your Wave Data folder.
Is there any way to make it simple ?
Use Cakewalk Audio Finder 3.0 it's bundled with your SONAR installation CD. Or go
www.cakewalk.com to download for free. It will tell you if any wave data is linked to certain projects or being orphaned. Check it out, it's easy.
Hope it helps.

Jaymz