Mark,
Likewise, Christie's were good enough to forward letters/requests for information to buyers on my behalf very recently, and took quite a bit of time and trouble over it. A very impressive service and one that isn't based on the relentless quest for filthy lucre. Having said that, If I ever need to sell anything, I'd consider contacting Christie's first - because of the exceptional and fruitful response from them - and also the fact that they were so keen to facilitate the spreading of knowledge.
If Sotheby's aren't even interested in forwarding a letter on your behalf, there are hundreds (literally) of Sotheby's sales catalogues, many (older ones) with the names of the buyers pinned to the inside back cover, at the John Rylands Library in Manchester. The Deansgate site. It's not ideal, but a starting point.
The regulations for gaining access to special collections are similar to the British Library - easier if you're a alumnus - and you can find out more here:
http://www.library.manchester.ac.uk/You'll also find you can search the content of the Sotheby's sales catalogues collection online.