5 things I wish I had known or done prior to attempting to work with SOS.dll and windbg.exe: 

1. sos.dll needs to be in the path for windbg in order to load it
2. you can .load %full path to sos.dll% instead of .load sos mscorwks or other statements
3. SOS for .NET 2.0 does *NOT* have all the commands the .NET 1.x version does (a source)
4. review http://msdn2.microsoft.com/en-us/library/bb190764(vs.80).aspx and use !help %command% often
5. where these two articles were: one, two.

I experienced an extreme amount of pain first working with SOS.dll because of some of the problems above. I also found that there were LOTS of articles about using it, but some were more detailed then others about carrying through to the end of the process. i found many articles along the way that utilized a variety of different tools. i think the links above were the most useful in shedding immediate light on sos.dll and how it is used in the debugging process.