The traditional way to sew in a sleeve was to put them in after sewing all the seams on the torso - including side seams!  An easier method is to sew in the sleeve after sewing the shoulder seam, but before sewing the side seam.  If the sleeve is full (bigger than the opening), you will need to ease it to fit somehow.  You can gather the upper part of the sleeve cap (between the notches), or make evenly spaced small pleats in the cap to make it fit.