The current RHEL/CentOS 5 package has one flaw: it was compiled without Sieve support. However, with a bit of rpm magic, the package can be rebuilt and produces an additional sieve package.
The current RHEL/CentOS 5 version has a rather old dovecot, 1.0.7. Even worse, the plugin for Sieve wasn't included in this build. Of course, given the old version of dovecot, an update to a newer version with Sieve is worth a thought; however, there are situations where that is simply not an option.

In such cases you can still rebuild the old package with a modified rpm file: download the source RPM, install it with
rpm -Uvh dovecot-1.0.7-7.el5.src.rpm
get the diff from below and apply it to the spec file:
patch < dovecot.diff
Download the sources as given in the now modified spec file to your SOURCES directory, and rebuild the package:
rpmbuild -ba dovecot.spec
and welcome the new sieve plugin dovecot-sieve-1.0.4-7.x86_64.rpm. Install it and continue as usual. And as a small help for writing Sieve scripts: you can verify them on various online services like the one from the PHP Sieve library.

Be careful, however: you have to maintain this package on your own - especially when a dovecot update comes along or when the sieve plugin code is updated. Do bear in mind, though, that this information, as with all howtos, should be followed at your own discretion; it comes with no warranty, and might eat your cats.

And here is the patch for the spec file:

--- dovecot.old.spec    2010-03-11 09:59:38.598277799 +0100
+++ dovecot.spec        2010-03-11 09:58:08.639526842 +0100
@@ -1,7 +1,10 @@
 %define upstream 1.0.7
+%define sieve_upstream 1.0.4
 %define pkg_version 1.0.7
 %define my_release 7
 %define pkg_release %{my_release}%{?dist}
+%define pkg_sieve_version 1.0.4
+%define pkg_sieve_release %{my_release}%{?dist}
 
 Summary: Dovecot Secure imap server
 Name: dovecot

@@ -12,6 +15,7 @@
 
 %define build_postgres 1
 %define build_mysql 1
+%define sieve_name dovecot-sieve
 
 Source: http://dovecot.org/releases/%{name}-%{upstream}.tar.gz
 Source1: dovecot.init

@@ -22,6 +26,7 @@
 Source6: perfect_maildir.pl
 Source7: dovecot-REDHAT-FAQ.txt
 Source8: dovecot.sysconfig
+Source9: http://dovecot.org/releases/sieve/%{sieve_name}-%{sieve_upstream}.tar.gz
 Patch100: dovecot-1.0.7-default-settings.patch
 Patch102: dovecot-1.0.rc2-pam-setcred.patch
 Patch103: dovecot-1.0.beta2-mkcert-permissions.patch

@@ -80,6 +85,16 @@
 primarily in mind.  It also contains a small POP3 server.  It supports mail 
 in either of maildir or mbox formats.
 
+%package sieve
+Requires: %{name}
+Summary: CMU Sieve plugin for dovecot LDA
+Group: System Environment/Daemons
+Version: %{pkg_sieve_version}
+Release: %{pkg_sieve_release}
+
+%description sieve
+This package provides the CMU Sieve plugin for dovecot LDA.
+
 %prep
 %setup -q -n %{name}-%{upstream}

@@ -94,6 +109,8 @@
 %patch503 -p1 -b .CVE-2008-4577
 %patch504 -p1 -b .CVE-2008-4870
                               
+%setup -q -n %{name}-%{upstream} -D -T -a 9
+
 %build
 rm -f ./configure
 libtoolize -f

@@ -115,6 +132,16 @@
 
 make %{?_smp_mflags}
 
+cd %{sieve_name}-%{sieve_upstream}
+rm -f ./configure
+libtoolize -f
+autoreconf
+%configure                           \
+    INSTALL_DATA="install -c -p -m644" \
+    --with-dovecot=../
+
+make %{?_smp_mflags}
+
 %install
 rm -rf $RPM_BUILD_ROOT
 make install DESTDIR=$RPM_BUILD_ROOT

@@ -169,6 +196,11 @@
 mv $RPM_BUILD_ROOT%{docdir} $RPM_BUILD_ROOT%{docdir}-%{version}
 mkdir -p $RPM_BUILD_ROOT/var/lib/dovecot
 
+# dovecot-sieve
+pushd %{sieve_name}-%{sieve_upstream}
+make install DESTDIR=$RPM_BUILD_ROOT
+popd
+
 %pre
 /usr/sbin/useradd -c "dovecot" -u %{dovecot_uid} -s /sbin/nologin -r -d /usr/libexec/dovecot dovecot 2>/dev/null || :
 
@@ -243,6 +275,9 @@
 %attr(0750,root,dovecot) %{docdir}-%{version}/examples/mkcert.sh
 %attr(0750,dovecot,dovecot) %dir /var/lib/dovecot
 
+%files sieve
+%defattr(-,root,root)
+%{_libdir}/%{name}/lda/lib90_cmusieve_plugin.so
 
 %changelog
 * Mon Nov 24 2008 Michal Hlavinka <mhlavink@redhat.com> - 1.0.7-7