xds2sad is a little Linux executable written by George Sheldrick (GMS).
It reads XDS_ASCII.HKL and outputs a file xds.sad that contains direction cosines and can be read by the Bruker program SADABS. To run it just enter 'xds2sad' at the command line. If you have renamed the XDS_ASCII.HKL file or it is in a different directory you need to give that filename on the command line as well. Note that if you wish to scale several scans together you can scale them together in SADABS provided that they come from the same crystal and are consistently indexed, data from different crystals can be merged in XPREP. If you have a kappa or similar goniometer then rotating the crystal about different axes relative to the crystal and scaling them together is much better than scaling individual scans separately and merging the .hkl files.
Actually GMS runs xds2sad after every final XDS run because it prints a nice summary and outputs the mean angle between the observed and calculated reflection positions. This should be less than one degree and is a good consistency check.