ewmarch: I've always found Sogg fishing back at Shrouded Hills north of the formerly theif infested bridge.
Also dog never left after asking him to stay. So not sure what's going on here, sorry. He may in fact have returned to Ashbury.
Ok, good to know. I'd also heard that Dog was the one companion that didn't check out when waiting, but I didn't bother to go to Ashbury to look.
I usually just reset when this kind of stuff happens. This time, I was just asking him to wait for a while while I lured enemies away from a mob and let my waiting followers take care of them one by one. I was in Ashbury Castle basement. No one disappeared but him.
And weirdly enough, I lost Sogg whilst gallavanting off to Ashbury early-game (to get Dog, and save on train fare) and never could find him again. He's not anywhere in Shrouded Hills, and isn't in Tarant's pubs. Fortunately, I didn't particularly care.