Because they are so tiny, sewing sleeves on doll clothes is different from sewing full sized sleeves. When you sew clothes for people, you commonly sew the bodice shoulders and side seams. Then you set in the sleeves. Although you may be able to manage this on some doll clothes, particularly for larger dolls, it is usually easier to sew them on another way. The best approach is to sew the shoulder seam, then sew the opened sleeve to the bodice—before the side seams of the bodice or the seam on the sleeve is sewn. This is called flat construction and is actually the usual way to sew in the sleeves for men's shirt. It works really well for doll clothes!
Run a line of basting stitching just inside the sleeve cap seam, either by hand or machine. If using the sewing machine, it may help to run two parallel lines of basting, assuming you have enough room to do it. Pin the sleeve to the bodice—this is where those tiny appliqué pins come in handy! Next baste the sleeve in by hand. by hand. Finish by sewing the sleeve cap to the bodice, either by hand or machine. For very tiny or intricate sleeves, sewing the sleeve in by hand may be the best.
If you are sewing for dolls like Barbie Dolls or Fashion Royalty, it will really work best if you sew the sleeve cap seam by hand. Use a tiny running stitch, the same as you would use for hand sewing a quilt. You can take a back stitch every three or four stitches to make the line of stitching more secure. This is called a "combination stitch".
You may find you need to sew other parts of a doll’s dress, skirt or pants in a different order as well, depending on how small the doll is and how tiny the pattern pieces are. In fact, you can sew the whole doll costume by hand, if you want to. For antique dolls or even reproduction antique dolls, this may actually be the most appropriate way to sew them - by hand.