Right click in the area where you insert effects on an audio track, and go to Soft Synths.
Pick either FL DXi or VSTi.
You should get a little box like in the picture I have supplied. Click on the peice of fruit and Fruity Loops will open up. You can open your FL project then.
Close the FL app (this won't stop it from working, it will just get you back to Sonar) .
A few things you gotta know:
1 - You have to set your tempo in Sonar to be what you want it to be. Does matter what tempo you make your FL project, Sonar becomes the sequencer.
2 - You will not be able to play the FL file in Sonar until you have a .wav file in the project that goes at least as long as the FL project. So, you will not be able to listen to the Fruity Loops project until you start recording something. You can listen to the FL project in Sonar if you open the FL app from Sonar (like you did above).
Otherwise, everything works great.