I use the little butterfly hair clips
to clip the sleeve to the armseye, putting a clip every few inches. Then I use the Mattress stitch
to sew them together, starting about halfway up and leaving a long enough tail to finish the other side. I find most seams are easiest to start in the middle. Don't let it freak you out. Go slowly and if you mess up, take out the stitches that don't look good and do them again. Also, I don't use yarn for finishing. It doesn't slide well. I use embroidery thread, usually two or three strands. It doesn't show at all if you stitch right, so an exact color match doesn't matter much. I learned from ArtLady who has a pictoral tutorial somewhere on the KH site.