Hi there,
I'm afraid it's one of those things - use whichever you think works best and sounds best for you.
Normal "rules" for effects apply using Rewire - compression, EQ etc before reverbs and delays...... But even those rules were made to be broken.
From an actual production perspective, I find it far easier to use Reason as a tone generator and then dump the dry tracks in Sonar prior to applying effects. This seems to work better for me as it allows me to concentrate first on the writing/tracking of the song and after I have it bounced it means that I am only using one interface to mix with.
Also, to my ears the result of bouncing individual tracks into Sonar and then bouncing to stereo sounds better than dumping all the tracks directly from Reason. Check out the Propellerheads forums on their website for more arcane discussions of that summing issue or just do whatever your ears tells you is the best solution.
The other thing to consider is that using Rewire will only deliver to you the first 16 channels as addressable MIDI banks when driving Reason from inside of Sonar. This again means that I end up maximising how many instruments or sounds I can load into Reason and then address from Sonar, rather than wasting available MIDI spaces using the effects channels in Reason.
So said, there are also times when I will dump and re-dump a track out of Reason using effects just because they are cleaner. This was particularly the case for orchestral strings - I thought the RV7000 Advanced Reverb was really nice on those. However, now that I have the Pantheon reverb, I am doing this less and less.
You can easily apply a Sonar effect to a dumped Reason track or individually if you choose to start Rewire and insert a stereo output for each Reason device as opposed to a single stereo output.
The only way I know of to use Reason effects on Sonar tracks is to export the track from Sonar and then load it in an instance of Dr Rex in Reason. I have done this with vocals but it is a little time consuming and needs Recycle to be properly efficient.
Hope that helps!

Q.