I've knit sleeves in the round and liked it. No seam! If it's a set-in sleeve, here's how I do it:
Since you don't need the seam allowance, reduce the number of stitches by 2.
CO the required # of stitches.
Join, placing a marker at the join.
On your increase rows, k1, inc1, k to last 2 sts, inc. 1, k 1. You can choose your increases from the instructions on this page
I THINK you can do both at once if you use magic loop like you do two socks at once, but I haven't done that.