Direct IO uses the kiobuf mechanism [see the Linux Device Drivers book] to manipulate memory allocated within the user space so that a lower level (adapter) driver can DMA directly to or from that user space memory. Since the user can give a different data buffer to each SCSI command passed through the sg interface then the kiobuf mechanism needs to setup its structures (and undo that setup) for each SCSI command.  Direct IO is available as an option in sg 3.1.18 (before that the sg driver needed to be recompiled with an altered define). Direct IO support is designed in such a way that if it is requested and cannot be performed then the command will still be performed using indirect IO. If direct IO is requested and has been performed then the SG_INFO_DIRECT_IO bit will be set in the 'info' member of the sg_io_hdr_t control structure after the request has been completed. Direct IO is not supported on ISA SCSI adapters since they only can address a 24 bit address space.
One limit on direct IO is that sg_io_hdr_t::iovec_count==0. So the user cannot (currently) use application level scatter gather and direct IO on the same request.
For direct IO to be worthwhile, a reasonable amount of data should be requested for data transfer. For transfers less than 8 KByte it is probably not worth the trouble. On the other hand "locking down" a multiple 512 KB blocks of data for direct IO could adversely impact overall system performance. Remember that for the duration of a direct IO request, the data transfer buffer is mapped to a fixed memory location and locked in such a way that it won't be swapped out. This can "cramp the style" of the kernel if it is overdone.
Prior to sg 3.1.18 the direct IO code was commented out with the "SG_ALLOW_DIO" define. In sg 3.1.18 (available for lk 2.4.2 and later) the direct IO code is active but is defaulted off by a run time value. This value can be accessed via the "proc" file system at /proc/scsi/sg/allow_dio . Direct IO is enabled when a user with root permissions writes "1" to that file: echo 1 > /proc/scsi/sg/allow_dio . If SG_FLAG_DIRECT_IO is set in sg_io_hdr::flags but /proc/scsi/sg/allow_dio holds "0" then indirect IO will be performed (and this is indicated by ((sg_io_hdr::info & SG_INFO_DIRECT_IO_MASK) == SG_INFO_INDIRECT_IO) after the request is completed).
Unfortunately that setup time is large enough in some versions of the lk 2.4 series to adversely impact direct IO performance. Also memory malloc()-ed in the user space tends to be made up of discontinuous pages seen from the SCSI adapter. This requires the sg driver to build heavily splintered scatter gather lists which is less than desirable. This limits the maximum transfer size to [(max_scsi_adapter_scatter_gather_elements - 1) * PAGE_SIZE]. [This is a _different_ scatter gather mechanism to that which the user sees in the sg interface based on iovec.]