The first place I check for anything on Scottish Writers is Andrew Crumey's page. He has a page on James Hogg with a list of his works. It's at James Hogg (http://www.users.globalnet.co.uk/~crumey/james_hogg.html). Project Guttenberg shows only one of his works, Private Memoirs of a Justified Sinner (http://promo.net/pg/_authors/i-_hogg_james_.html).
I have a few of his songs at my site (http://www.contemplator.com/folk.html), including Cam Ye By Athol, When the Kye Come Home, Come Owre the Stream Charlie... can't think of more. I'd love to have more myself...
There must be more, hopefully someone will know of a really cool place...