Once upon a long time ago I did a lot of garment construction in sewing. As with any skill, we always find shortcuts or methods that work for us that might be different from standard instructions.
For me, when I was putting together a garment that had sleeves I would work as follows......
Sew the front to the back at the shoulder seams; (Leave the side seams open)
Gather the sleeve cap and fit in to the shoulder opening, easing in the curve; (Leave the side seams open here, too)
THEN join the side seams and sleeve seams in one continuous line, and I usually worked from the bottom up the side and then down the sleeve seam.
In knitting, this sequence also works well for me and i tend to use the mattress stitch for a really neat, non-bulky seam. I've found that it's a finishing stitch well worth mastering.
With some practice you'll probably greatly improve your finishing techniques, something that makes all the difference in garment construction whether you're sewing or working with knitted pieces.
Hope this helps!
Good luck and happy knitting!