There are several techniques that you can use for short rows so that you don't get a hole. Take a look at the Free Video tab at the top of this page, Advanced Techs, Short Rows for one way to do them. And for different approaches, try German (
knit side and
purl side) or
Japanese short rows.
Are you knitting this sleeve from side to side rather than the more usual wrist to shoulder? Sound intriguing.