For set-in sleeves, I sew the shoulders first - this is often necessary anyway, as there is a neckband or collar or hood to be put on. Then I find the mid-point of the sleeve and attach that at the point where the shoulder seam ends, then sew down towards the underarm; then attach the other half of the sleeve top, stitching down to the underarm. If I have enough yarn to keep stitching, I continue down to join the sides, and join the sleeves. Otherwise I join in a new stitching thread at the underarm to sew the sleeve and side seams, using mattress stitch.
Only once did I ever sew the sleeve seams first and it was awkward.
Stitching down the sleeve seam from underarm to cuff, and down the side seam, seems easier to me; it all seems to come together better and sit more nicely.
For raglan sleeves, the raglan seams are sti