Share your experience!
Do i need to unlock the bootloader to run cyanogenMod to my device...?
Please suggest any other tested roms for my ray.
Yes you have to unlock your bootloader, open the dialer *#*#7378423#*#* and tap Service info > Configuration > Rooting Status and check if it says Bootloader unlock allowed yes or no.
For more information about bootloader click here. This is the official guide by Sony.
If want to check custom roms for Ray go to this link XDA. They have many custom roms and you can check de feedback.