1. You dont need to. Just make heat sinks that wrap around your motor and have good surface area contact with the outercasing - the water your robot is in would cool the outer casing and hence cool your motor. You could also put thermal sensors on your motors and test how much you can run them before they start to overheat.
Hmmmm I am not quite sure how underwater sonar work. Well I understand theory thats simple, but I mean I dont know what the oscillating component is. The circuitry of a land sonar transducer I am sure you can modify for it, but the actual thin film that vibrates to detect and make the sounds I dont think is water proof. Let me know what you find, I am kind of interested too. Considering I make robots for the Navy, I should probably know this . . .