Sew shoulder and side seams of the dress. Sew both sleeves together and finish all the seams with pinking shears, wide zig zag stitch or using a serger. Press seams to the back. Next turn the dress inside out and the sleeves right side out.
Feed sleeve through the arm opening, starting with the wrist, until edges of sleeve cap are in line with arm opening. Match the dress side seam to the sleeve seam and pin.
Next fold top of the sleeve shoulder to find the middle and pin to the dress shoulder seam. The right sides will be facing inside the dress.
Place another pin halfway between the shoulder and side seam pins, then ease the sleeve into the curves of the arm opening. Working down from shoulder and up from the armpit, shift pins to fit sleeve. Repeat on the second half.
Even with sleeve pinned thoroughly, it's easy to catch and inadvertently sew other parts of the dress. Take special care, work slowly, and manage the dress fabric. Use your fingers to feel and smooth out wrinkles as your sew. If your sewing machine has a free arm, this feature might make sewing a smaller opening like a sleeve easier, check your machine's manual.
Another option is to baste along the top of the sleeve cap. Switch to the largest stitch setting and sew, using a 1/4 inch (6 mm) seam allowance. DO NOT backstitch at the beginning or end. Leave long thread tails and gently pull to create a slight gather. Place sleeve inside the dress. Match the seams and pin sleeve to dress body as above.