Not sure that you can, to my knowledge the only app for processing rex files is ReCycle from propellorheads.

REX file

What about if you took a clip and opened it in the Loop Construction view, split it up and then save it as a groove clip. Would it act similar to a REX file?

It will act similar to a REX file but you will only be able to use it with the tempo properties in Sonar. This is something that you should be able to find out in your manual. The manual is your friend. READ IT. That is why it's included with the box.