UPDATE (9/3/2010): "Easter Sunday" (1951) has been added to the list. The obscure story, available online through RevolutionSF, was originally published in Commentator, a Texas A&M student magazine (see Bill Page's Fantasyland/Aggieland, available online, for the original citation).
UPDATE (10/6/2010): I have changed the embedded document to a Google Docs document, which is more accessible and iPad / iPhone friendly. Alternatively, the document can be downloaded. I have also added some of Gene Wolfe's forthcoming short stories to the list.
UPDATE (30/7/2010): The short story "The Tale of the Four Accused" (1989) has been added to the list. Information comes from: Stephensen-Payne and Benson, Gene Wolfe: Urth-Man Extraordinary: A Working Bibliography (1991). I have checked it hasn't been collected since this bibliography was produced.
UPDATE (9/10/2012): Added "Planetarium in Orbit" (2009), "Last Drink Bird Head" (2009), "Innocent" (2010), "The Giant" (2011), "Josh" (2011), "Why I Was Hanged" (2011), and "Dormanna" (2012).
UPDATE (22/11/2013): Added "Frostfree" (2013) and "The Sea of Memory" (2013), which were published in the recent Wolfe tribute anthology Shadows of the New Sun (2013).
In addition to Monash University Library's Rare Books collection,
I made use of the following online resources while compiling my list: