Sonar does not have native CD burning capabilities. Therefore, while you could bounce all your tracks to a single track within Sonar, ultimately you will have to export the song to a standalone wave file in order for your burning software to use it.
I personally find it easier to simply export all my tracks to a wave file, rather than using the intermediate step of bouncing to a single track and then exporting. Not everyone uses the same approach and YMMV.
That said, what you want to do is select all the tracks that are involved in the mix (i.e., make sure any tracks that you don't want have been muted or archived). Then go to File -> Export Audio.
Now you will get a menu where you get to name the file and decide where you want it saved. You also get to select your bit depth here as well. If you have been recording at 16 bits, make sure the selection is 16 bits and proceed with the export.
However, if you have been recording at 24 bits, then sooner or later you will need to drop it to 16 bits in order to burn to a CD. You can use Sonar to do this by choosing 16 bits as the export parameter, but if you do so you should make sure that you have "apply dither" selected in your audio options.
There's a lot more to learn on this subject, but this should get you started.
