I've also just used JohnMKelly's technique successfully in SSRS 2008. This is a confusing limitation of the report model.
Looking at the T-SQL that the report model is emitting, with a single field from a single entity - there is not SORT BY. When I add a second field (in my case, I only want one, so I just add it twice) it adds SORT BY [Field1], [Field2]. This gives me the behaviour I want.
When I add a third field, that just gets included in the SORT BY clause in the oder it occurs, e.g. SORT BY [Field1], [Field2], [Field3].
By the looks of it, you can control the sort order by ensuring you have two or more fields in your query, and they appear in the preferred order of sorting precedence.