I think, the best options is creating new module. You have to do following steps.

• Create new folder (mysaleorder_report)
• Create folder report
• In root folder create __init__.py, __openerp__.py (with related content, inside init don't forgot to import report) and xml file sale_report.xml with following

  <openerp>
      <data>
        <report id="report_mysaleorder_report" model="sale.order" name="sale.order.myreport" rml="mysaleorder_report/report/mysaleorder_report.rml" string="My sale order report" auto="False" header="False"/>
      </data>
    </openerp>

• Enter into report directory and creates __init__.py and sale_order_myreport.py which should have following skeleton:

  class sale_order_myreport(report_sxw.rml_parse):
          def __init__(self, cr, uid, name, context):
              super(sale_order_myreport, self).__init__(cr, uid, name, context=context)
              self.localcontext.update({
                  'time': time,
              })
  
  report_sxw.report_sxw(
      'report.sale.order.myreport',
      'sale.order',
      'addons/mysaleorder_report/report/mysaleorder_report.rml',
      parser=sale_order_myreport
  

• Last step is creating mysaleorder_report.rml. You can do it with many ways, create sxw file and generate rml, copy rml from another report and customize it, or write your own.

If I wrote it without errors you should have new report under sale orders menu. You can look into documentation, there is at least some info. And another very usefull source is http://wyden.com/openerp/customizing/reports