To locate individual items in a collected works set using Grove in Oxford Music Online, search for the composer and then select "Works" under the the Article Contents on the left.
Collected editions for that composer will be listed at the start of this section. Note the abbreviation in brackets at the end of each listing.
Find the piece you are looking for in the works list. The right-hand columns will tell you where in the composer's collected works you can find that piece.
It can also be useful to refer to the following print resources to identify a collection edition: