You may want to check for any errors/warnings in the Compilation Report Assembler section
You can view this with the Processing Menu->Compilation Report
Expand the Assembler section and click on messages.
A Sof file should always be produced and will be in the top level of your project directory.
Just another thought....
Have you made sure that the device you have selected is installed in your version of Quartus.
For example, Web Edition only supports a subset of devices although it may allow compilation for others but will not produce an output file.