Hi Bob,
it is set up in /etc/sysconfig/yum-cron (/etc/sysconfig generally is a good place to look for this kind of thing).
MAILTO is set to your desired mail address. I also set ERROR_LEVEL to 1 to get a mail when something was installed by yum-cron - the default setting will only send mail on error.
Works like a charm, and there also is some amount of documentation about all the options in the file.
Best regards,
Peter.