So have you answered your own question? Great work! Unfortunately, I think you don't have enough karma yet to accept your own question :(
kcrisman (Jun 14 '12)Okay. What do you mean by "tex working directory"?
I'm not familiar with command lines at all, so I don't know if cp -r $SAGE ROOT/local/share/texmf/* HOMEPREFIX/texmf/ needs adjustment -- i.e., do I need to change a directory?
And when you say build the *.tex file, do you mean run PDFLaTeX on it or just write it up?
daniel.e2718 (Jun 20 '12)See http://www.sagemath.org/doc/installation/sagetex.html for more information. The $SAGE_ROOT band so forth will indeed need adjustment, based on where you have installed Sage and where your Windows directory is (I am not quite sure what HOMEPREFIX is but I bet you can look it up). "Build the file" means to actually run (pdf)LaTeX on it, you are correct.
That link says $SAGE_ROOT is the location of my Sage installation. I have no idea how to find that out.
Assuming you are at some point in the command line, where do you go to run Sage? Wherever that is, type pwd and it should probably end with .../sage-x.y.z/ or something, and that would be the Sage root. Without knowing exactly how you're trying to do this, it's difficult to help; maybe opening a different question would be more helpful.

I second this, but I have no idea how difficult it would be to implement it.
daniel.e2718 (May 30 '12)