Not exactly sure what your problem is.
You should be able to use SoundForge effects directly in Cakewalk. Just patch the effect onto the track. All of SoundForge's directX effects should show in your Cakewalk effects menu. Generally you should not need to open SF to use an SF effect.
However, if you do want to work with a CW track in SF, all you need to do is highlight the track in CW, then select SF from your tools menu. This will open SF with the selected track. Make your changes and close SF. It will ask if you want to save it. Select yes. When you go back to CW, you will get a prompt telling you the track has been changed and do you want to reload it. Again select yes, and... voila.
Be aware that changes made in SF are destructive edits. It is probably a good idea to clone the track first and archive it. Then work with the copy, just in case!