It depends on what kind of sweater your making..
You will come to a point where you do some armhole shaping and have to split off into front and back pieces...when you get these pieces done. You will pick up stitches at the armhole, and knit the sleeve from the armhole to the cuff, or you will make the sleeves and attatch them (set in type).
Raglans are a whole nother story as well as top down sweaters.
so if your working from a pattern....look at it and tell us what kind of sleeves you have.
better yet...if you can give us a link to the pattern, that would be better for us to help you with....(that sounded like something the big bad wolf would say