Are we talking set-in sleeves? The kind that have a sleeve cap and looking at it, you wonder how it will ever fit??
What I usually do for those kinds of sleeves is lay the front and back pieces (already seamed at the shoulders) flat. Then lay the sleeve in where the top of the sleeve meets the shoulder seam. I cut a piece of yarn that will be long enough for seaming the whole sleeve in, but start half way through the piece of yarn and start my seaming at the shoulder. I seam down from the shoulder to the front armhole first, easing the sleeve in as needed (skipping a stitch here and there when seaming to help it fit the best way possible), and then go back and seam from the shoulder down to the back armhole, using the same "easing" in technique.
I hope this helps.