The .sgw format packs the .sng and .wav files based on the compression ratio you set. These are good for backup/archival purposes of projects you are done with at the moment, allowing you to remove the original .wav files from the hard drive to free up space if needed. Notice I said remove and not delete. It's always a good idea to backup the raw .wav's to CD or something, just in case.
What Tim was saying is that if you always save in the .sgw format as opposed to the .sng format, n-Track will need to un-pack those file to a location of your choice prior to being able to work with them.
On current projects, it's best to just save the project as a .sng, as the .wav's are already in the directory that you specify under Preferences > Paths > Working Directory. Then periodically make backup saves, in the .sgw format, to a safe place in the event of a computer mishap.
So, yeah ... in response to your initial question, just as Tim stated ....
File > Save As Packed Song File ..... select your location for the save, name it and click Save.
You will then be presented with the compression ratio window, in which you will use the slider to adjust how much data compression you wish to use.
Personally, I set the slider all the way to the right. No compression. Of course, depending on the number of tracks in the project, this can end up being a rather large sized file. That's when a DVD burner comes in handy.