If the sleeve top and armholes have shaping, then it's not so easy, as Aiden pointed out. There are ways to do it, but they involve short rows. I know there are books out there that show you how, but I don't know of a simple way to explain it.
If the armhole is straight and the top of the sleeve is straight, then it's a good idea to pick up the stitches and knit in the round all the way down. It really saves a lot of time seaming, and the sleeves get smaller all the way down--a very nice thing when you're at the end of a project.
You can also modify a sweater with a set in sleeve by just making it a drop sleeve. It really depends on the type and fit of the garment.
"Trust the pattern!"
Time flies like an arrow, but fruit flies like a banana.
Hop aboard while we follow the cloud-covered van of knitting harmony, man!! Woooo!! --Hedgehog
IngridKH on Ravelry