sql will still sort, unless it could perform a "hash join"
Similar technology is available in a data step.
Scalability of joins depends on memory available and data sizes. When you have that information, you can make an informed choice.
The "seminal" (?) paper on sql joins, written some time ago but (imho) permanently relevant is at
http://support.sas.com/techsup/technote/ts553.html titled "SQL Joins -- The Long and The Short of It"
peterC