I find them by using the menu:
On Demand channels
then page down a few times
These are on channel 1000, so going into the guide and selecting this channel will also get you to the same screen.
I still can't find a SONYHD channel on VOD.
Following your directions I was able to find Cinema Plus, and mixed in with all the other stuff there (mostly pay per view) were a few titles listed on 1000 Sony.
But I was unable to go into Favorites to select a Sony Channel for display in my guide (since it seems not to exist). If I go into the on demand section and choose to check by channel.....no Sony channel shows up for me to select.