He lives in a secluded and derelict mansion, alone at the top a mountain, near NYC. He claims to have always lived there, and that the whole area is named after him - Mount Kisco.
He also claims that Cisco routers are named after him, since he invented them. This, he continues to claim, is easily verifiable since he installed an easter egg that can make them float in the air in response to the right input sequence.
The fact that the mundys seem to completely ignore the mountain, as well as the abundance of accounts of floating routers on the Web, are considered evidence of the immense powers behind Sisko's derangement, if not of the veracity of his claims.
Jones & Smith met him on the second session, asking questions about the coming gehenna. While there they met (and talked to) an invisible cat, and immediately assumed it to be the good doctor's. Sisko, when asked to clarify, claimed to not have a cat at all. Remarkably enough, out of all the claims he made that night, this was the only one our heroes really considered suspect.
By the time the duo came back from Burning Man, they heard that Sisko was destroyed, and that the Malkavians have proof of Smith's guilt in this matter. Magenta has clear orders to deliver Smith to be tried in New York.