I am also having the problem some have described; e.g.,
# There was a problem writing your sitemap file. Make sure the file exists and is writable.
# There was a problem writing your zipped sitemap file. Make sure the file exists and is writable.
The files exist and the permissions were set according to the directions. Created the files, moved them to the blog's root and used FTP to chmod the files. File permissions showed properly and no dice.
Decided to try Karailiev's Sitemap and see what happened. Same thing.
The host server runs Windows with IIS, so I'm guessing the host is going to have fiddle with Windows File permissions to allow WordPress to own or write to the files. If that doesn't work, I'm out of ideas and could use some.