I found the place where this is set/changed, in case anyone needs it. It's set up in the Admin/configuration, under "Product Listing"

There are two items, "Product Listing Ascending Sort Order" and "Product Listing Descending Sort Order". You can enter whatever you want to display there, but some special characters may or may not work right, as I found out today.

Here are a few settings, the first is the default "+" or "-" sign, second is text, third is an UP and DOWN arrow that seems to work with "Latin-1" character set, on my site:

Name:  SortCharacters-2.jpg
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Name:  SortCharacters-1.jpg
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Name:  SortCharacters-3.jpg
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I hope this saves someone a few hours one day...