Larry,
Just to make sure I didn't have some other custom configuration issue causing the problem I created a new web application on another machine. I then created the commands/SayHelloCommand.php file identical to the one I used earlier and attempted to run the console command:
$ ./yiic sayhello PHP Error[2]: include(SayHelloCommand.php): failed to open stream: No such file or directory in file /opt/local/www/yii/framework/YiiBase.php at line 427 #0 /opt/local/www/yii/framework/YiiBase.php(427): autoload() #1 unknown(0): autoload() #2 /opt/local/www/yii/framework/console/CConsoleComman