If you have Cakewalk9 you can add audio tracks to your midi tracks and create a new and different file (I forget the extension name).  I have Sonar too, but haven't really used it.  I think Sonar is more audio-centered, where Cakewalk is more midi-centered.  From what I've seen of Reason it would be more like a Sonar program.  To get back to your original question, I think you can do what you plan on either program, whichever you are most comfortable using.  Again, Sonar seems to support audio better - the screen interface definitely does.  Hope this helps.  
