Not all cities have multi-volume sets. This step is unnecessary for most areas in Illinois outside of Chicago.
With a general idea of the location at hand, consult the Volume Key online or in the Sanborn reference materials in the Microfilm Section.
Locate the intersections you noted in Step 1
Step 2: Example
James locates the intersection of Roosevelt and Halsted on the Volume Key. From Google Maps, he knows the location of interest is just north of Roosevelt. James is confident Volume 7 is the one he needs.*
*If the location is near the border of a volume, take note of the neighboring volume. It may be necessary to review more than one volume to find the sheet.