How would you upgrade my entry level system?

My thoughts:

1) System setup. Have you spent time dialing in the speaker and listening position?
2) Room Treatments- Without knowing anything about your room it is hard to suggest, but often they can make an tremendous difference. With GIK you can get their Room Kits starting at under $600, and if you send photos and measurements of your room, GIK will suggest placement (they do a lot of professional audio installations and know their stuff).  
3) Absolutely upgrade your streaming service. You can get CD quality from Deezer, Tidal, or Qobuz. Tidal offers some higher resolution streaming, but is more focused on MQA now (you can research MQA yourself, the short is it is a highly debated area of audio) and Qobuz offers hi resolution streaming.
4) With the Sonos, you can get pretty good sound out of it if you use an outboard DAC, but it is limited to 48khz, so no high res streaming. If you keep keep the Sonos, I would try a Schiit Modi Multibit or Bifrost DAC. That said, moving up to something like a Bluesound streamer with an outboard DAC is worth doing.

I would look for some gently used equipment. Maggie 1.7i speakers about $1400, Parasound Halo integrated $1600 a good sub $700 and you'll have some great equipment and sound to match with money left over.

... FIRST MAKE YOUR OWN SPEAKER CABLES: twist lengths of 14g Solid Core Copper wire from an electrical supply place (I paid $0.20/lf), install with bare wires and play for 300 hours. You may find you have rebirthed your system with enough improvement that you'll buy more music and have an increase in enjoyment instead of more neurosis...

... and I'm assuming you have fully broken in your equipment - that means 300+ hours of continuous play (I usually do double that): most never really break their equipment in, consequently never really knowing how good their equipment really is...

I like the existing sound.
would just like to more captivated, can't articulate it any better than that.

Don't need to. Captivated is perfect. Captivated happens when your senses detect something is really there. Captivated is better than fascinated. Captivated you are caught. You are drawn in. You can't, or even better don't want to, get away.

What gets you to captivated isn't in-your-face dynamics or flat frequency response or any of the normal audiophile BS. What gets you captivated is the sense of subtle inner detail lurking just beneath the surface. Kind of thing makes you want to listen closer and more intently. Deeper and deeper into the recording.

You can buy the best speakers, amps and CD players in the world and you cannot get to captivated that way. No way. Never in a million years. All you will hear doing that is your crap lamp cord, patch cords, and freebie power cords. And boy will you hear them good and boy will it be annoying.

The way to captivating is carefully auditioning at home every one of your components including all the wires until you find the ones that beautifully balance and bring out the best in all the other components. Captivating doesn't have to cost a lot of money. It costs time. And effort. But man is it worth it.