6.6 Where does SORT/XL create its scratch files? I have a vague memory that it defaults to the system volume set but can't seem to discover where I got that idea.

The scratch files are opened with the formal names "HPSORTS1" and "HPSORTS2". Thus, if you do not have file equates for them, they go into the volume set that your logon group is HOMEVS'd to.