When I first built my house none of the beds said "owned" on them. Even when I moved a steward and a housecarl(karl?) in. It was only after I told Sophie that I would adopt her that it changed. And, yes she's still in Windhelm. She told me she was going to ger her things or whatever, and would meet me at my house, but she never showed up. Now, when I talk to her there are no dialogue options, and she acts like she's living in Lakeview Manor, even though she's still wandering the streets of WIndhelm like a street urchin in a dikeens novel. Right now, I don't own any other house but Lakeview Manor, but I'm thinking buying a new one and moving is my only option to see if I can force her to move with us.
@ashleyclark: by the time I realized that she hadn't shown up I had already deleted all my other saves before I asked her to be my daughter, and yes I have tried clearing the cache on my 360. It didn't help.