Sodium light is monochromic yellow light (wavelength = 589nm). As such, there is no "color balance" possible. The only thing you could do is to shift the visible yellow to white. Theoretically you would then get a B&W picture, without any colors visible. Objects which absorb yellow light appear dark, and objects reflecting yellow light appear light. Don't expect any blue, green or red color. In the case of a pure sodium lamp you could easier convert to B&W without losing any color information.
In real life, you don't find exclusive sodium light. It's normally mixed with some tungston and/or mercury light. If you now adjust sodium yellow to white, these other light sources will appear extremely blueish.
I'd recommend to shoot RAW and play with color until it looks good. As I said, there is no true compensation possible. That's a matter of physics and it's not camera-dependent!
'Borrowed' from another forum but is very true.