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SageTeX on Linux. pdflatex isn't running Sage

I manually installed Sage into ~/sage-5.2 (i.e. not using my distro's package management tool).

I included in my LaTeX document the example of plotting a sine wave into my .tex file (from the tutorial). When I run pdflatex on it, I get:

Package sagetex Warning: Graphics file sage-plots-for-statistics.tex/plot-0.png on page 3 does not exist. Plot command is on input line 129.

Package sagetex Warning: there were undefined Sage formulas and/or plots. Run Sage on statistics.sagetex.sage, and then run LaTeX on statistics.tex again

It's clear it's not running Sage. It generates the .sage file, though.

I included ~/sage-5.2 into my path, as well as ~/sage-5.2/local/bin/ and it still doesn't pick Sage up.