mysql.sock is a file thats created by MYSQL when MYSQL starts up.
I believe that if mysql is running and the file hasnt been created, then its because MYSQL doesnt have the permissions on the folder to create the file.
I use Fedora 3, and I had to do the following :
# chown -R mysql /var/lib/mysql
# chgrp -R mysql /var/lib/mysql
This changes the ownership and the group of the /var/lib/mysql folder so that the account that mysql uses has the correct permissions on the folder to create the file. Then things like phpmyadmin and php use the sock file to establish a connection to mysql.
Did you install mysql yourself?
Did you enter this command...
To start mysql you could also try the following command
# /usr/bin/mysqld_safe --user=mysql &
I did a tutorial for Fedora 3 which you may like to take a look at, it might help you a little seeing as Fedora is Redhat(in a way).