Hey,
what host OS are you running sensu-agent on?
If you are using something like Centos 6 as the host OS, you should already be using a sysvinit script that is configured to create logs in /var/log/sensu/
If you are running a systemd based linux distro (ex: CentOS 7), you can extend the systemd service definition and instruct systemd to redirect stdout and stderr into a log file of your cholce.
Here’s a recent discourse post that details how to reconfigure your systemd to redirect stdout/stderr to a log file: SensuGO Agent and Backend Logging