I think the most difficult thing about putting in a set in sleeve is having to undo all your sewing if you find that you've skewed things a bit. So what I did this time around was put my sweater on my Mum and used two different locking markers to help me line up everything up. I used the orange markers to mark 5 key points. I started by marking both the top center of the arm hole and sleeve cap. Two orange markers marked the beginning and the end of the cast off points at both the bottom center of the arm hole and sleeve. Then I choose two other "middle points" in the front and back of the arm and marked them in orange markers as well.
Here is what a sleeve looks like once it's sewn in
The green markers were put in between the orange markers to help give a visual to see if I was starting to skew the sleeve. Green markers could be off by a stitch when I was sewing everything in, but the goal was to have the orange markers match up. As you can see, the orange marker is marking the seam at the top of the arm hole. The green markers are at arbitrary points.
When I had finished marking the first armhole and sleeve, I put one sleeve inside the other so that I could have both sleeve caps alongside each other. I then made sure both sleeves had markers that matched each other. In the same way, I folded the sweater in half and put one arm hole inside the other so that I could match the markers. This way both my sleeves and arm holes had markers that were lined up the same way.
I used a mattress stitch to sew most of the sleeve together. The most helpful tip I found was that if you find yourself skewing the sleeve some, sew two stitches together with the mattress stitch on one side. When I had to get 6 stitches on one side to fit into 10 stitches on the other side, I made sure to have single stitches in between my "stitch two together" stitches. This helped hide the higher rate of decreases that would have made the sleeve look lumpy.