When searching for an individual work within a Collected Works edition, start with Grove.  The works list there usually cites specific locations within the Collected Works for each work in the list:

[Mus Ref Book ML100 .N48 2001]

The New Grove dictionary of music and musicians. 2nd edition. London : Macmillan Publishers; Washington, D.C. : Grove's Dictionaries of Music, 2001. 29 volumes.

Grove Music Online  updates the full text of The New Grove Dictionary of Music and Musicians, 2nd edition, The New Grove Dictionary of Opera,  (London, 1992), and The New Grove Dictionary of Jazz, 2nd edition, (London, 2002). It also includes access to Oxford Music reference tools.

Thematic catalogs provide a wealth of information for each work, often including citations to specific Collected Works volumes.  Depending of date of publication, the thematic catalog may cite older editions of Collected Works, but not newer editions. (See example below)

Heyer can be a good source for finding volume information if the Collected Works edition was published prior to 1980. (See example below)

Heyer, Anna. Historical sets, collected editions, and monuments of music : a  guide to their contents. (1980).