Mobile Documents is inside your Library folder, which is hidden by default.
I'm pretty sure that Mobile Documents and any documents within it will resist any attempt you make to drag them to the sidebar.
You are not "supposed" to use iCloud this way. The Finder is not intended to be an interface to Mobile Documents. Instead, you should use create and open files in iCloud via their requisite applications (TextEdit, Preview, Keynote, Pages, Numbers, etc.). If you have one of those applications open and use the file->open menu, you can drag things in there via the Finder.
This is the supported way to do it. If you elect to try and find other ways to do it, they may work, but you could run into unintended consequences so be careful. Also note that deleting a document that's in iCloud from one machine will immediately delete it from all machines. And Time Machine does not back up anything that's in ~/Library/Mobile Documents.