Answer to question: depends on what role they play (ally, enemy) and how they're presented (charming, strait-up creepy, so on).
As for elaborating on my previous point: well, let's say for example that your sociopath character had a slushie thrown on his face by some random guy. Let's say that random guy suddenly has his house burn down, has his dog run over, and has his wife leave him, taking the kids. A person would normally be sympathetic, despite having said slushie thrown into their face. Your sociopath, however, might knowingly cause him more pain, thus showing the player how different they are. Basically, you have to use nuances in your story to illustrate your character's psychological make-up and show the difference between them and a normal person by using the player's own perception/personality with a given situation. Like how people think the Joker's all awesome then he does something horrible and they think "Oh, well, now I remember, he's a psycho."
Erm...hope I successfully elaborated.
One thing that you could keep in mind is that a sociopath might not see how, well, anti-social they are nor see anything wrong with it. Like with something you can do in lieu of talking to an actual sociopath; there's plenty of documentaries/biographies about sociopaths. (This documentary I saw about the Iceman and the auto-biography Confessions of a Sociopath being ones to come to mind.) You can actually find the HBO Iceman doc on youtube. It's a pretty good one. (Seriously, if you can find this one part where the guy talks about killing someone, then says that the only thing that really bothered him was putting a wagon together for his kids, that might be illuminating enough.)
But again, it might not be the sort've sociopath you're looking for.