Hi @rachelm22,
Does variable SEX in dataset work.sasp have values 1 for males and 2 for females (as in dataset covs)? If so, it should be sufficient to copy the FORMAT statement from your DATA step into the PROC PHREG step:
proc phreg data = WORK.sasp plots(overlay=group)=(survival);
format SEX SEX.;
class SEX;
...
Also, you may want to specify an output dataset name (with the OUT= option) in the BASELINE statement so that SAS doesn't create datasets with default names using the DATAn convention.
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