If you consistently want to compare projected keys (such as a single property), you can define a class that encapsulates all the key comparison logic for you, including null checks, key extraction on both objects, and key comparison using the specified or default inner comparer:
public class KeyComparer<TSource, TKey> : Comparer<TSource>
{
    private readonly Func<TSource, TKey> _keySelector;
    private readonly IComparer<TKey> _innerComparer;
    public KeyComparer(
        Func<TSource, TKey> keySelector, 
        IComparer<TKey> innerComparer = null)
    {
        _keySelector = keySelector;
        _innerComparer = innerComparer ?? Comparer<TKey>.Default;
    }
    public override int Compare(TSource x, TSource y)
    {
        if (object.ReferenceEquals(x, y))
            return 0;
        if (x == null)
            return -1;
        if (y == null)
            return 1;
        TKey xKey = _keySelector(x);
        TKey yKey = _keySelector(y);
        return _innerComparer.Compare(xKey, yKey);
    }
}
For convenience, a factory method:
public static class KeyComparer
{
    public static KeyComparer<TSource, TKey> Create<TSource, TKey>(
        Func<TSource, TKey> keySelector, 
        IComparer<TKey> innerComparer = null)
    {
        return new KeyComparer<TSource, TKey>(keySelector, innerComparer);
    }
}
You could then use this like so:
var sortedSet = new SortedSet<MyClass>(KeyComparer.Create((MyClass o) => o.MyProperty));
You can refer to my blog post for an expanded discussion of this implementation.