He wrote 96 books and a very large number of articles and columns, including entries in encyclopedias.
In his book, The Seven Capital Sins (alba–house.com), he made a connection between the Seven Deadly Sins and the last words of Jesus on the Cross.
These assignments are listed here in the order set by Bishop Sheen in addresses from February 26 to April 7, 1939. The connection is not always obvious, so the book is highly recommended for further reading.
Wrath/Anger:
"Father, forgive them,
for they know not what they do."
Envy:
"This day you shall be with me
in Paradise."
Lust:
"Woman, behold your son...
son, behold your mother."
Pride:
"My God, my God,
why have you forsaken me?"
Gluttony:
"I thirst."
Sloth:
"It is finished."
Avarice/Greed:
"Father, into Your hands
I commend My spirit."
Source: http://whitestonejournal.com/index.php/seven-deadly-sins