The request is received from the user, resources are reserved as required (e.g. kernel buffer for indirect IO). If necessary, data in the user space is transferred into kernel buffers. Then the request is submitted to the SCSI mid level (and then onto the adapter) for execution. The SCSI mid level maintains a queue so the request may have to wait. If a SCSI device supports command queuing then it may be able to accommodate multiple outstanding requests.
Assuming the SCSI adapter supports interrupts, then an interrupt is received when the request is completed. When this interrupt arrives the data transfer is complete. This means that if the SCSI command was a READ then the data is in kernel buffers (indirect IO) or in user buffers (direct or mmap-ed IO). The sg driver is informed of this interrupt via a kernel mechanism called a "bottom half" handler. Some kernel resources are freed up.
The user makes a call to fetch the result of the request. If necessary, data in kernel buffers is transferred to the user space. If necessary, the sense buffer is written out to the user space. The remaining kernel resources associated with this request are freed up.
The write() call performs stage 1 while the read() call performs stage 3. If the read() call is made before stage 2 is complete then it will either wait or yield EAGAIN (depending on whether the file descriptor is blocking or not). If asynchronous notification is being used then stage 2 will send a SIGPOLL signal to the user process. The poll() system call will show this file descriptor is now readable (unless it was sent by the SG_IO ioctl()).
The SG_IO ioctl() performs stage 1, waits for stage 2 and then performs stage 3. If the file descriptor in question is set O_NONBLOCK then SG_IO will ignore this and still block! Also a SG_IO call will not effect the poll() state nor cause a SIGPOLL signal to be sent. If you really want non-blocking operation (e.g. for command queuing) then don't use SG_IO; use the write() read() sequence instead.
For more information about normal (or indirect), direct and mmap-ed IO see Chapter 9 .
Currently the sg driver uses one Linux major device number (char 21) which in the lk 2.4 series limits it to handling 256 SCSI devices. Any attempt to attach more than this number will rejected with a message being sent to the console and the log file. 
Patches exist for sg to extend the number of SCSI devices past the 256 limit when the device file system (devfs) is being used.