Searching for and installing the a3d.dll file worked for me, I now have directional sound in Thief G. Haven't tried yet for Thief 2, but it was never as temperamental as TG.
My issue now is that I can't bring the sfx_channels above 8, which seems pretty lame. I'd like to at least get the golden 12 channels if possible, or force it to something like 24 or 32.
I have onboard sound by RealTek, and I'm sure I should be happy as a clam that directional sound works at all.
EDIT: Never mind, I found the setting in DARK.cfg rather than CAM.cfg. The setting appears to take, simultaneous sounds now should be 32, unless an elaborate deception is going on.